Colliding winds of massive star binary systems are considered as potential sites of nonthermal high-energy photon production. Motivated by the detection of synchrotron radio emission from the colliding wind location, we here investigate the properties of high-energy photon production in colliding winds of long-period WR+OB systems. Analytical formulae for the steady state proton- and electron-particle spectra are derived assuming diffusive particle acceleration out of a pool of thermal wind particles, taking into account adiabatic and all relevant radiative losses, and include advection/convection out of the wind collision zone. This includes analytical approximations for the electron energy losses in the Klein-Nishina transition regime. For the first time in the context of CWB systems, our calculations use the full Klein-Nishina cross section and account for the anisotropy of the inverse Compton scattering process. This leads to orbital flux variations by up to several orders of magnitude, which may, however, be blurred by the system's geometry. Both anisotropy and Klein-Nishina effects may yield characteristic spectral and variability signatures in the g-ray domain. Since propagation effects lead to a deficit of low-energy particles in the convection-dominated zone, one expects imprints in the radiation spectra. If protons are accelerated to at least several GeV, p super(0)-decay g-rays might be observable, depending on the injected electron-to-proton ratio. We show that photon-photon pair production is generally not negligible, potentially affecting the emitted spectrum above 650 GeV, depending on orbital phase and system inclination. The calculations are applied to the archetypal WR+OB systems WR 140 and WR 147 to predict their expected spectral and temporal characteristics and to assess their detectability with current and upcoming g-ray experiments.