wrapping the header keeps the heat inside the tube.. this increases velocity-thus increases the flow thru the header.. because the heat is kept inside the tube, and not allowed to radiate,, underhood things like spark plug wires, wires, fuel lines, etc., will stay cooler.. this is also advantagouss--but i have seen high horsepower cars with heat wrap,, and this puts extra stress,(that may not be the right word) on the metal.. this usually leads to a premature failure in the tube..even disintigration--BUT,, this all depends on how much power/heat your engine is making ..
so,, if the benefits outway the negatives-go ahead and wrap them.. remember that an engine that is not making alot of power/heat may not do any damage to the tube.. but i have heard people say that a wrapped nascar header will be tottally gone after one nascar race..the quote was,"the only thing holding the header together after the race was the wrap"..