I don't know about the WRX, but the 2.5RS is pretty much wrapped already down to the cats.
The metal "housing" around the exhaust appears to have insulation inside it between it and the exhaust pipe.
As far as whether or not wrapping the exhaust is helpful, I would say yes. Keeping the gasses at a higher temperature will keep velocity up. How much it helps is a question that only a dyno would answer. Nothing compares to real world testing.