Wrapping does work in the short term. It can even work in the medium-term on stainless steel components. But even those will eventually start to corrode when wrapped.
I am told that ceramic coating makes a very noticeable difference for temperatures, making a header pipe that was formerly second-degree-burn temperature into one that is merely too-hot-to-hold. Coatings on brand-new parts that have been properly prepared can last a long time, but I don't have first-hand experience.
A heat shield can be made from sheet aluminum. Stock ones frequently are, in fact, and they work reasonably well and cheaply. Even when there is a stock shield there, another one can still have some effect.
-soD
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