Several companys make the heat wrap you are talking about. Wraping the header keeps the exhaust gasses from cooling down and helps gas keep velocity up. It will also keep under-hood temps. down. However, over time, especially if you live along the coast or where it rains alot - dirt, salt, sand, mud, water, all these things can seep into the wrap and cause rusting on the headers because of moisture trapped between the wrap and the pipe.
http://www.thermotec.com/tt/