I think that most of the concern about wrapping and rust is that if it sits, especially outside, for a long time between drives.
On my other vehicles (that have automatics), I always wrap the portion of exhaust that routes in front of the tranny pan (why do they always go that?) to keep some heat off of it.
That said, it seems like I always have a bit of wrap laying around so, I do wrap my air intake tubes. Just to keep some heat off of those too.