Somewhere here, a long time ago, this was discussed before. I'm not digging for it now...
I have scraps of 1/0 high-flex stranded welding lead that I can use to wrap thin sections with to serve as a heat sink, and it's made more effective if bedded in a heat-sink compound similar to this:http://www.ebay.com/itm/N-W-30g-High-Pe ... rkt%3D1%26
To answer the other question, whether blow-through or warpage is the bigger problem, it depends on your level of experience. Starting out, blow-through will frustrate you first. Warpage is not quite the right term... Shrinkage issues will plague you. With stainless steel, I automatically assume a typical butt-joint in a straight run will shrink 1/16". However, when welding in a bend, such as the stock bends available for exhaust, the "short" side will shrink more. More accurately, the inner radius and outer radius will shrink the same, but the inner is a higher percentage of the linear distance, so the inside will seem to shrink more. If you fit a 90* elbow dead square to a straight section and weld it, you will end at around 92*, as an example. This shrink factor must be accounted for in the fitup.