Definatly use a heat shield. I have an SS header that is wraped and you can actually grab it and not get burned, however you must release it very quickly because it will be too hot to hold. The wrap definatly works to reduce underhood temps. Will it give you more mpg? probably not. Being winter time, I like the idea of having more underhood heat
I don't mind runing my underhood temps as high as possible, with out causing damage.