Most places that coat headers only do the outside so be very careful who you go to for this. Jet Hot coats the inside and the outside so you won't have the rust problems you do with others.
Wrapping headers with the cloth or tape will significantly reduce underhood temperatures, however, the extreme heat will generally burn the carbon from the tubing and extensive radial cracking will occur. Not to mention all kinds of rust. Typically you can expect a 2% to 3% loss in hp from the rust that forms overnight in a new set of headers. Compound that over the 100k miles you probably will want to put on them and you'll be buying new headers in no time.