You should keep the exhaust heat sheilds in place, you want the exhaust gasses to stay hot, here is why:http://www.nsxprime.com/FAQ/Miscellaneous/exhausttheory.htm
"As discussed earlier, exhaust gas is hot. And we'd like to keep it hot throughout the exhaust system. Why? The answer is simple. Cold air is dense air, and dense air is heavy air. We don't want our engine to be pushing a heavy mass of exhaust gas out of the tailpipe. An extremely large exhaust pipe will cause a slow exhaust flow, which will in turn give the gas plenty of time to cool off en route."