Sumit Racing sells heat shielding pretty reasonably. When I installed theheaders this past spring I bought about $30 worth, the starter blancket cost the most at $15. I put the heat shielding material everywhere that was close to the header.

The distance between the header and thefire wall on the passenger's side is about a 1/2" ww/o a body lift. You can take a hammer and beat in the wall to allow for more clearance, or run some heat shielding that has an adhesive back(this is what I did.

I ran the exhaust between the driveline and the transmission, rather than under it. I had to cut about 3" off of the header pipe to get it turn the corner. The front driveline just clears the pipe(rubs a little in reverse), and there is about a 1/2" between it and the tranny. I have a 5 speed and a 4" lift, so I am not sure if you have enough room to do this w/o a suspension lift or with the auto.