Should I use a Header Wrap?*
NO! ABSOLUTELY NOT. There is nothing that will damage a header faster than the use of a header wrap, other than attacking it with a hammer or shot gun.* As advertised, these wraps do keep the majority of exhaust gas temperatures within the header.* The result is the wraps will prohibit the header tubing from cooling properly.* If you reduce the ability for headers to dissipate adequate heat properly, the result will* be premature failure of the metal.** Depending upon the application use and temperatures involved, the life can be reduced to only a few hours.* We consider exhaust wraps to be the header manufacturer's best friend.*
If engine compartment temperatures are an issue, the best solution is to use insulation materials on the sheet metal.* One alternative in some applications is to build a box around the headers and actually duct outside air into the box.* In some applications ceramic coatings have been known to help (see notes on coatings above).* Insulating any components that may be sensitive to heat, such as wiring, fuel & oil lines, etc., are a better option.
IMPORTANT: Use of header wraps will void any warranty.
They make headers, they're not selling ceramic coating, but they do say its ok. Header wrap voids the warrenty.
Another article, a bit more technical and indepth.
I personally don't care if you wrap your headers in banana peels and glue on skittles, but a sticky in the newb section should hold some information about the pros and cons.
On a side note, I notice your headers go up above your engine, rather than down around it like a motorcycle's. Thus, when you change your oil and filter there is slim chance of it leaking all over the cloth header wraps. On the other hand, it's very easy for a motorcycle to dump oil on a header during an oil change; so how do you wipe oil out of cloth as opposed to wiping it off bare metal? Unless you think it's a good idea to change your oil with cherry red pipes (of course, wouldn't the bike have to be running to keep bare metal cherry red)? Sure, it's great to sound cavalier about a fire erupting between your legs, especially when it's something you don't have to worry about.