I wrapped a set of headers once. It seemed to help the car some, although we didn't dyno it. Underhood temp went down, and you didn't burn your hands so easy working on the car when it was hot, so that was positive. I don't think leaving gaps would be a good idea, because the temp along the header would vary so at the wrapped/unwrapped areas. If I didn't have enough to do the whole header, I would divide it up, start wrapping the tubes closest to the head, and stop when I ran out. That where the tubes are hottest and the most heat lost. You are bound to have some overlap around bends, but on straight sections butting the wrap against the previous wrap should be fine. We didn't have a moisture problem, but it was on a pure race car that never saw street use.
John