I say no to the idea. If you're planning on doing work to some ceramic coated headers, get the uncoated ones and then have them coated once they're to your liking. Otherwise, you're defeating the purpose of the coating when you grind it off since it'll just chip and rust.
I did mine. If you don't go too far you shouldn't have a problem. Also they shouldn't rust if you talking about up by the flange because it will have a nice flat black coat of carbon there.