I wrapped my headers, it can't hurt. If a weld is going to let go it's going to let go regardless of whether it's wrapped or coated. Wrap just makes it harder to find the crack or leak down the track.
Though as stated, don't bother on an RS. You're not going to gain much and if they behave anything like my UEL headers, it will actually take away a bit of that boxer rumble.
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