I did mine with VHT flame proof primer (primer can looks exactly the same as the paint can) and paint. It's expensive but it can hold up to the heat, even at the headers.
As Monte can tell you, there's no good paint job without good prep work. I thought I had my exhaust down pretty clean, but I ended up with rust under the paint. If I had to do it again, I'd etch the metal to clear all the rust.
There's another technique that doesn't hold up nearly as well but it's cheap and work ok... BBQ grill paint.