1) cobb makes a decent aluminum heatshield for aftermarket downpipes. Costs $50. You could also make your own pretty easy (some ppl here have)
2) Wrapping is always great and always a pain in the ass. It makes it harder to change out parts but it does keep heat in pretty well. If you don't mind dealing with it, it can make a big difference. It'll just be more work when you want to change something.
3) You need EM for the 06-07 motor if you get a downpipe (has nothing to do with the turbo, that's bad info). There are lots of EM options out there from open source software to the cobb AP to something even more fancy.
04 STi 16G powered lagless fun
04 WRX: SOLD