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Coating the inside of the headers is not necessary, most likely a waste of money. I guess the only reasons you would want to coat the exhaust all the way back is if you were showing the car or just want to know it looks nice. This is not a bad thing.
However, you don't want to keep the exhaust temps up too much by coating everything, especially if you are staying with using cats. You want some of the heat to escape as the higher temps can increase the likelihood of detonation and you don't want that.
I have a set of headers on order and I am just having the outside of them coated, then for my x-pipe I am just going to use the hi-temp ceramic based spray paint by duplicolor so it will look decent and cheap enough to repaint if I choose.
I had my LGM long tubes coated. I've heard differing opinions on the benefits (or lack thereof) of coating headers. If for no other reason, I think it finishes them off nicely and I did not encounter detonation or other problems. I think the coating was in the neighborhood of $400.00. I'm happy with them both from an appearance and a performance standpoint.
I firmly believe coating exhaust components is a waste of money unless you do it for looks alone. Trusted drag racing and tuning friends told me this before I bought mine, and after install I believe it. I would've chipped the hell out of a couple places on them during my install... If you have any interference issues, you'll also be chipping the hell out of them.
I'm assuming you go with quality stainless headers, like 304 SS. Just my opinion- others will swear by coating. I chose to put the $$ into other mods.
I had my headers coated on my previous supercharged car by Jet-Hot. they look great, I can't say for sure about under hood temps though. As for chipping them durring install, the coating is WAY more resielient than that. Unless you're using a hammer to do your install with you're not going to have any chipping problems. For the record my LG's for my Vette are going to be coated inside and out. Most quotes I've gotten for inside/outside of both headers is 250 bucks.