Cerakote makes a high-temp coating specifically for automotive and engine applications. It seems to work exceptionally well at keeping heat inside the header, plus its application process makes it inherently very rust resistant.
Cerakote Coatings
I'd be inclined to try cerakote on the header first. If not satisfied, I'd then consider a wrap knowing that the cerakote would protect the header from further rust and decay. Downside to cerakote is that you'd have to pull the header and possibly Y-pipe to be dropped off at a shop that can apply it.