I have heard mixed feelings on these things. I wrapped a set of longtubes on an 80 z28 a few years ago and never head anyproblems. I suggest scuffing them up and paitning them with some high heat paint though prior to wrapping them
Others have said that they create condensation and will cause your headers to rust prematurely.
Header wrap can cause heat spots to form, especially in areas with severe bends, becaue the wrap does not allow the header to dissipate the heat properly and this leads to a blowout in the pipe. A friend of mine had this happen after only a very short time. I personally stay away from this stuff.
I have a moronic friend that thought it would be a good idea to wrap his Offroad X pipe on his 5.0 Mustang. He didn't wrap his headers at all. I don't see what he was trying to gain from doing that.
I personally think header wrap is hideous and that's the biggest reason it wouldn't go on my car.
As long as you dont overlap the wrap more than a 1/4 inch then you wont have heat spots and it should dissipate the heat just fine. It is kinda hard to do, especially at bends and turns, but that is the trick to do so you dont have any problems.