Originally Posted by
RustyLugNut
It is a technique to trap more exhaust heat that is radiating away. This allows the O2 sensor to operate better and allows the engine's ECU to receive a more consistent signal. For example, unheated O2 sensors might take a few minutes upon start up to get to operating temperature and the ECU will run the engine in open loop mode, wasting fuel. Also, under light loads or long coast downs, the exhaust may cool enough to lose the O2 sensor signal and might cause the ECU to again go open loop, possibly wasting fuel.
But, this technique's effectiveness really depends on the vehicles engine particulars. Research your own case and see if it applies.