Years ago they used to wrap the exhaust manifolds - especially on Jags - supposed to improve flow by keeping gases hot plus removes heat from engine bay and also looks great. I reckon its a great idea.
It is not a good idea to wrap standard or off the shelf headers as they tend to break down after time. The reason imports and such do it is because the material used is much thicker and stronger and retaining heat is benifical in a turbo setup where as normal N/A headers are not made of as strong material.