In version 1.0 I didn't. I covered everything with coroplast. Consequently, the car cabin overheated, it charred the belly pan, and I had to scrap the whole thing and start over.
In 4.0, I'm using two cat shields made out of aluminum to cover the catalytic converter and resonator, which are also in the center of my underbelly. I'm leaving the muffler exposed, because it's off to the right. If I were to cover it, it would be with a metal sheet, and I'd make sure that it had an opening in the rear for hot air to eject. Not just the tailpipe, I mean an opening the size of the muffler itself. (This assumes there's some way for air to also get into the same channel. On my car, the muffler is right behind the rear sway bar, so that's not an issue.)
I originally tried out full wheel skirts, and they definitely work. But a) the front wheels had too much flutter, negating the aero benefit, and b) they were a pain for servicing. I eventually moved to the slim fairings I have on Champrius now. They gave me 75% of the benefit of the skirt in the rear, and actually performed
better than a skirt in the front. So ultimately I choose the lighter, easier to service, less hassle option that had equivalent fuel economy.
By the way, I also tried a half dozen different variants of side skirts, catamarans, wheel tails, etc. and concluded they are all crap. They don't improve mpg, and in some cases interfere with subtle aero-shaping that's already in play on the Prius (in particular near the rear wheel spats).
Last but not least, I believe that air curtains are the way to handle the front wheels, rather than a skirt of any kind. That's from multiple perspectives: performance, safety, and serviceability. That's what I plan on putting on 4.0.