I've actually seen this on one of those old car shows. Forget what kind of car, but they had chicken wrapped in aluminum foil cooked on the headers. They said it worked fine, and was a fun way to have a hot meal once you reached the end of the cruise.
Just make sure you don't have an exhaust leak.
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1997 Mustang GT "The Freak" - 13.80 @ 101.70, 2.07 60'
1995 Honda VFR750 - not much @ really fast (actual data pending.)
1964.5 Mustang 289
Rice Haters Club Member #13