Removing an electric baseboard heater

The power feeding the sections is typically daisy-chained around the room. Unless the piece you want to remove is the last one in the chain, you will probably have two cables in the junction box, one feeding in and one feeding out to the next heater. If you have the end of the run, with just one cable in it, you can disconnect that cable from the upstream heater. If you've got two cables in it, you'll need to install a junction box with a blank cover on it

Depends on how they are wired. If it is a single unit on a breaker by itself, remove the wires from the breaker and remove the heating unit. If they are daisy chained, you'll have to put in a junction box and run a wire to the next heater in the series. Remember, you are not allowed to have a junction box hidden in a wall. As for capping the wires, put them in a box, not dangling with wire nuts on the ends.

But you can have it recessed in the wall, right? The cover has to show, but even that can be painted or wallpapered, right?

Sure, a cut in box with a flush cover is fine