The reason I have always heard to wrap the exhaust pipes is to keep the
exhaust gas from cooling off and hence, expanding.  Expansion causes the
flow to slow down and hinders combustion chamber scavange. Since our headers
aren't designed with scavange in mind I doubt it would help much.

As an added benifit it really does reduce engine compartment temperatures.
Which makes it hard to cook lunch: http://tinyurl.com/yluzag
Bon Appetit
Ken Lewis
http://neksiwel.20m.com/