Paintball is a perk apparently available to Lumon employees. Milchick mentions its existence to Dylan during their confrontation at the Security Office when Dylan is activating the Overtime Contingency Protocol. It is not seen on-screen during season one.

I can get you any perk you want, Dylan. Hey, there's stuff you don't even know about. There's paintball, there's coffee cozies. Dylan, come on! Just say the word, and I'll get you a coffee cozy literally right now, Dylan.

The We We Are (33:04)