Stacked wall is definitely the most accurate way to do this. Splitting and painting doesn't show that the thickness of the wall is likely changing depending on the exterior material. Plus, by modeling correctly, you can include any sill or other transition element between wall types within the wall itself rather than manually adding sweeps everywhere.
The other issue is because I assume those walls are the same type. If you want them to be different, you need to duplicate the one you are editing to make a new type. This is a pretty essential thing to understand in Revit. People that don't understand this feature can do a lot of damage to a model.
