Lapsed Catholic fag here. OT = the golden calf was constructed by the Israelites before Moses returned from Mt. Sinai with the 10 Commandments. The Israelites worshiped it as a god until Moses came back and cast the idol into a fire, melting it and forcing the Israelites to drink it as punishment for their unfaithfulness.
Moreover, gold and wealth are temptations, discussed in Deuteronomy, if I recall. Presumably it is linked to paganism and the worship of other gods.
I would imagine that, to cover oneself in gold, one believes they are godly or that they are deserving of worship as an idol.