let's see, first of all, unless you have an ex you don't have a factory header. you have an exhaust manifold. secondly, if you remove the heat shield, you do two things. you allow your engine bay to het hot as ****, which makes your performance suffer and that heat that gets dissapated in your engine bay doesn't leave with the exhaust like it is intended, this slows down the velocity of your exhaust gasses, which makes your performance suffer as well. bottom line is that you can, but it's not a very good idea.