I am doing a XS400 for my wife now.
Yes, you have to paint the header, one of the things about wrap is that it holds water against the pipes. If you have run the bike, the heat will burn it off, but even some high temp engine paint would be better than nothing.
I did the ti wrap on my bike. It was a lot easier then I expected. I did them on the bike, as it allowed me to pull it tight.
They also make a tool to tighten the stainless tie wraps, it also worked really well and was under $10.