You don't need to mask, but you do need good technique, which comes from practice. If your beads of caulk are lumpy and/or messy, you may have the wrong size hole in the nozzle, you may be going too slow, you may be going in the wrong direction or at the wrong angle, or you may not be laying it down in a smooth motion. Check out some "How to caulk" videos on YouTube, like this one....

Here is a link that might be useful: How to caulk

Just take your time, and have a roll of paper towels and a trash bag handy. If/when you get a clump of caulk on the tip, just wipe it off and begin again. Keep in mind that when you pause, you need to release the pressure in the caulk gun so get in the habit of pushing the release button (or however your gun works).

The first thing to decide is why you're caulking the windows on the outside. You need to leave some way for condensation moisture to escape at the sill level and any caulk on the top and sides will prevent the windows from opening or be destroyed the first time they are opened.

If you're talking about caulking around exterior storm windows, be sure to leave a way for moisture to escape at the bottom.

The gray stuff that comes in a roll is not caulk. It's a temporary kind of weather stripping intended to be removed in the spring.

There are a number of things you can do about drafty windows. Great Stuff type products, interior and exterior storm windows, weather stripping, and caulk in some cases on the interior side. Exterior use of caulk is probably a waste of effort and money.

"Exterior use of caulk is probably a waste of effort and money"

Not true at all, moisture infiltration will cause extensive damage to the Jams and Sills. Exterior caulking is a must and I'm sure your not talking about the sliding portion of the window.

It is a learned skill, Kudz9 and Homebounds advice is entirely correct the only thing I would add is use you finger to smooth out the caulk. I use a lot of paper towels and only smooth out the caulk a couple of inches wipe off what is on my fingers then continue smoothing. The initial amount of caulk you put on is critical so start with a small opening at the tip.
Hope this helps

If you are filling a joint less than 1/4" in width with a hand operated gun, the trick is to cut the nozzle at a 45 deg. angle and trim the point to be slightly rounded or straight across. Hold the gun at an angle and draw it toward you with the blunt tip touching the joint.

As you squeeze and pull the gun you will see the sealant coming out of the nozzle in a slight bubble and you want to move the gun so that the sealant is forced into the joint and screeded by the blunt point instead of getting ahead of you.

After a while you will be able to adjust your speed and pressure to get over irregularities or awkward arm positions and be able to stop and start without losing the technique. When you stop you must release the pressure on the gun or it will continue to operate. Keep several damp cloths handy and expect to ruin everything you are wearing.

Silicone is best for smooth surfaces like aluminum and takes more skill to apply than most other sealants. I would consider a polyurethane sealant because it sticks to anything.

If the joint is deep you should install a foam backer rod first so that the sealant forms an hourglass shape instead of filling a hole. The hourglass shape will last far longer because it is thin in the middle for stretching and wide at the edges for sticking. Sealant that fills a large joint will fail pretty fast even though it might still look good.

Thanks so much for all of the information!

Mainegrower, I'm caulking the seam where the metal window frame meets the brick and mortar. Obviously I'm not caulking the actual working edge of the window!

The prior owners used what looks like grout around some of the windows, and it's started to crack and separate. Other windows have old gray flexible caulking, other windows have clear silicone.

The masking made up for my lack of good technique! Yikes! I'll watch the video, then start again with a newly cut tube and on a less-visible window.