Painting first wont help long... the excessive heat will cook the paint right off.
I've never seen a good header rust from wrapping.... now if you use a cheap ebay header thats a different story.
I have downpipes that I know were wrapped for a couple of years and they have zero rust.
[B]1951 McCormick FARMALL M
2007 MINI Cooper S Turbo... new project car
1998 Chevy 3500 Ext cab, long bed, 4x4, duelly, turbo diesel
2004 Harley V-Rod.... sex on wheels
2011 Harley Electra Glide Ultra Limited