Got mine at the auto parts store (Checker or Autozone), it was about $50 for the kit.
Your engine will run a little cooler, and you won't burn your leg on the exhaust pipe as easily. I think someone mentioned that it will give you about 2hp extra, since motor will run slightly cooler.
You can do it without removing the pipe, you just won't be able to get the first inch or two of pipe at the rear cylinder.
I wouldn't use those crappy steel "zip ties" that come with the kit, get a couple of hose clamps so you can really tighten it up.
On the rear cylinder, you can get pretty close to the top of the pipe if you work at it.
Wrap the material around the pipe three or four times, enough to cover about 4 inches. Put one of the hose clamps around it to keep it from unraveling, but leave it loose enough to slide a little.
Work that section of heat wrap up the pipe as far as you can, then tighten the hose clamp with a screwdriver.
After that, wrap away.
-Tim