Hi,
I personally did away with mine, but that's only because my car is a garage queen that only comes out on nice days!
But, if you choose to place the cover back on, I would highly suggest that you wrap (re: w/ header wrap or exhaust tape) the portion of the header that is closest to the plastic cover. That may help insulate the plastic from the heat.
Also, I don't know how far your new headers extend laterally, but you may also want to wrap the A/C line that comes in close contact to the header on the driver's side w/ the same wrap or tape. Randall advised me to do this when I installed my headers and it has been working quite well.
Lastly, I didn't have an issue with a coolant line on the passenger's side that pecivil mentioned. But this may be particular for Dansk headers.
Keep us posted!
Edit: Looks like boxsterz beat me to it!