have it ceramic coated. Paint will just burn off. You might be able to powder coat it but that will probably burn off as well. You can get ceramic coatings done in defferent colors now, I think they have black, silver and crome/polished. I have seen costom colors as well but they were on show cars and probably are very expensive to do.
I've also heard now that they can ceramic coat the inside of pipes to reduce the amount of heat given off by them. A guy I know has the pipes on his Harley ceramic coated inside and out. He has short drag pipes on it and they get HOT when he's riding.
I imagine a header gets pretty damn hot when the car is running, but I don't know how good it would be to get it ceramic coated on the inside, if it would have any negative effects on the performance of the header, but I imagine it would keep some of that heat from getting out into the engine compartment to things like a CAI.