depends on why you are doing it.
wrap:
against heat it's the best solution.
looks...not my cup of tee, as the english would say, but that's personal prefferance.
when you are tired of the look and you remove them, you'll headers will really look like crap and i'm not assuring you that you will be able to remove all spots & staines by polishing the headers.
you'll also need to paint the wrap to keep them looking nice.
you can fit the wrap without removing the header, although it's easier when removed.
coating:
for about 150$ you can get your
used headers ceramicly coated inside & out. New headers will be cheaper. (+ average of 2.5 hours of labor for fitting)
the look is awesome, it also helps against the heat on your right leg...but did i mention the looks?!?
you can get different colors, easy, maintenance friendly, etc...well worth the $$$ if you ask me!
painting:
this option will give you no heat protection and is pure looks.
you can paint you header with heat resistant paint.
the 1st time you'll have to drop you engine a bit, to get to the rear. after time discoloration will appear near the exits of the cylinder, which is easy to touch up protecting non painted parts and painting the headers again.
what i would do?