Since I'm quite cheap, I decided to go with the KLX300 exhaust instead of FMF for my 2010 KLX250s. I found a complete system on Ebay and won it for 40$ (that's for the complete system!) It was pretty rusty so I cleaned it up with some CLR and a steel wool (SOS). Then for the black part which the SOS removed the paint, I bought some VHT Header paint which can tolerate up to 2000F (15$). I've seen some comment that it crack fast but I wonder if they followed the instruction. You need to apply the paint 3 times in 1 hour and then it need to be cured on or off the bike.

Here's the result:

Before



After

 

If the header pipe is rusting, I would paint it too!
Does that header have an O2 sensor?
After wrapping my moto header with heat tape, I would recommend that also if your looking for HP.

 

I don't think that it has an O2 sensor, butt i'm no mechanic and I don't even know what it looks like but there is no electronics on that header. It looks exactly the same as the one on my 250s. I've been thinking about painting the header but the rust was only surface rust that was easy to remove (now look as new as the one on my 2010 bike) and I wanted to keep de same look as the stock one which is not painted.

 

I don't know about surface rust. I assume if you have surface rust, it is a failure of the chrome plating and will rust again.
But maybe if you scour it once a year your ok?