The best discussion I've seen of Paulson's political leanings is in Robert Novak's article Hank Paulson's DNA. It seems to say Paulson has donated to both parties, and his allegiance is not political, but rather to his own power and wealth.
Political donations of Henry Paulson
$336,250* Republican (51%)
$13,990 Democrat (2%)
$311,300 special interest (47%)
total: $661,540
So, yeah, he's donated to both parties. But he's donated more than 25 times as much money to Republicans than Democrats.