I have in the past. It has its pro's and cons.
Wrapping the headers can lower underhood temps, and also keep the heat in the exhaust gases. Hot air moves faster then cooler air. The down side is many people claim, that the wrap can speed up the rate at which the header wears out, rust, cracks ect ect. Hondas dont really run that hot, so it's not really worth it, unless maybe your turbo. It's really something designed more for a race car then a daily driver.
The best way to go is get a coating, like jet-hot. Have the header coated inside and out. It will give the best performace and really increase the life of the header.
