Do it! Wrap the headers! I also did the collector under the engine too. I did mine coz I was getting fed up with my bits getting cooked by the rear header! Added bonus is that the rear brake master cylinder doesn't get quite as much of a hard time with the heat, and she seems to run a bit better! Oh and your rear shock won't fade due to heat exposure either! Hope that helps!
Forgot to mention - I had some left over so I wrapped the exhaust behind the rear brake master cylinder. As it also has a heat shield fitted I've always had a good solid rear brake. (After initially bleeding it successfully).