I've heard a few myths and the pros and cons of wrapping headers. Some cheaper quality headers are made from tube steel that doesn't handle high heat and cool down cycles. The tale behind that is the heat wrap prevents the metal from shedding some of the heat by radiating it and eventually re-tempers the steel tubing til it becomes brittle as glass (never seen it, but then the guys saying might have bought cheap headers and the welds have cracked and didn't want to look like they got what they paid for...) You'd have to be running it hard and doing it on a regular basis to cause that to happen IMO. Wrapping headers is worth it. Keeps the under hood temperatures down, hot gases move faster so you can be more aggressive with tuning the engine, offers some protection to you if you have to work on the engine while it's hot and it won't flake off like paint so you don't have to maintain it to the same degree. You don't want to spill oil on it or have a leak somewhere as the thermal wrap could exacerbate the problem (yay, lots of extra stinky smoke and a possible burn off if it is a bad spill on the headers)