Exhaust/header wrap will decrease your engine bay temperature, improve cooling and add horsepower. Please read this description thoroughly for more information about this very helpful but often misused product.
When you add horsepower to an engine, one side effect is added heat generation. Most engines are designed to operate at 180F, however the exhaust gasses that leave the engine can easily be over ten times hotter than that, and it's common for turbos, exhaust manifolds and exhausts to sit right up against the engine or oil pan! When you have something that is 2000 degrees about two inches away from something you're trying to keep at 180 degrees, it's just common sense to use some kind of insulation. As an added bonus, you get better exhaust scavenging which will add some HP by keeping the heat in the exhaust gas.
Do you know how hot your engine bay is? You've got a big chunk of iron and aluminum and a couple gallons of water at 180 degrees, so that's a good starting point. Exhaust gas at up to 2000 degrees leaving the engine just exacerbates the issue. But what about all the sensitive electronics and expensive performance parts you want to keep cool? And what about your intake pipe which carries nice cool air from your intercooler (or outside the car) that you want to keep well below your engine temperature? Heat radiating from your turbo and exhaust is the #1 cause of performance-robbing engine bay heat, and probably the #1 cause of failing alternators and similar electronics in that area. Help control the problem by insulating your hot exhaust components.
Note: it is normal for exhaust wrap to smoke and smell funny for a couple hours after installation.