It should be possible but will depend on the mechanical properties of the metal surface and the desired properties of the lipid film. 

I would recommend a gold surface since you can attach thiols terminated with just about anything you like for an adhesion promoter. If you are looking for thick films, i.e. thicker than 10 microns, you should be able spin them on if your lipids have the right viscosity.  It may also be possible to self assemble the layers as well but if you are trying to get 10 microns or more, it'll be difficult.

It's hard to make any specific recommendations without having more details about the substrate you intend to coat and the material you intend to coat it with.

Ron, first of all, thank you very much for your quick response. I will try to provide more details:

I need to deposit cholesterol on an alloy (Ni (35%), Co (32%), Cr (20%), and Mo (10%)) being able to control the deposited thickness with a precision of at least 0.5 mm. The alloy surface is shaped as a 0.1-mm-diameter round wire.

What length of wire do you need to coat? Will you be coating one end of the wire, some section in the middle, or end to end? If you are only coating one end and don't mind a thicker coating on the tip of the wire, you can simply dip it in a solution of cholesterol in hot ethanol (80C) or you can try chloroform if you want a room temperature dip. Both solutions should work at 5:1 (w/w) solvent to cholesterol and you could adjust the concentrations if you need to change the thickness of the coating. You could also do multiple dips to make the coating thicker. Having the solutions near saturation will keep the previous coating from dissolving in the solvent on subsequent dips. Look at the datasheet to determine the exact solubility,  e.g. Sigma-Aldrich C8667 data sheet.