Totally worth it, With no heat shield your drying all your lubs around the pipe. When I got mine fitted by Chris Allan and recommended that for that reason, he says the driver side wheel and suspension arm and such tend to have all their lubs dry up due to being exposed to the increased heat.
Cost: 20 for the material, 10 for the clips and tons of man handling!
I think I got 10m length from here: http://www.proven-products.co.uk/products/cooltek.htm
Me and Andy did it together, recommendation is to soak it just before you put it on. Messy fun! []
Also someone said it helps with performance by keeping the temps up or in the pipe... not sure how it helps but thats what they say lol