Heatshields are there for a reason, leave it on. If Ford could have saved the money, they would have. Removing it will only increase ambient underhood temps and cause some bogging off the line, especially for those running a short ram intake. Plus, it keeps the radiator and all surrounding pieces cooler. Not to mention that it helps keep the heat in the exhaust flow...which is good.
Well, everyone who's said it looks uglier with the shield off - are you thinking of the stock Zetec exhaust manifold? The SVT header is actually a pretty attractive one, just as good as many aftermarket ones. But, I agree you should keep the heat shield on - it's worth it. Plus I've heard it is not that easy to take off anyway.