Lots of questions there, hopefully i won't miss any.
If your header is rusty, you can just clean it up with a wire brush and paint it with some good quality high temp paint, I used 1200 degree silver engine paint and it worked fine for me. It chipped a little right at the head where it's the hottest, but it was cheap and looked a lot better than mud and rust.
Aftermarket headers really aren't worth the money on a warrior unless you're going for looks. The stock one is actually the same diameter pipe as the aftermarket ones, and is bent just as smoothly. The only place where there is any power loss vs an aftermarket one is at the weld where the flange is inside the pipe, you can grind most of that down with a dremel. Just don't take it all off, you could possibly make it too weak.
I'm also around 200# and I thought the stock shock was pretty stiff and harsh, I might have bottomed mine out twice and it was bad landings on the motocross track. I did stiffen up the spring preload pretty good though to keep it from sagging in the back.
I went to an 01 raptor 660 shock on the rear for a while but I didn't like it because it made the back end sit too high for my comfort and the more radical swingarm angle made it more difficult to keep the chain tensioned properly.
I snagged a used aftermarket banshee rear shock on ebay for $75 and that was the winning ticket for me. The ride height was right and it was valved plush enough that it wouldn't buck and bounce at high speeds through rough terrain, and still had good bottom-out resistance. That might not help you much, I took a chance and got luck with that one.
If you haven't tried stiffening the preload on the stock shock you might want to give that a try first, it could work good enough for you if you get it adjusted right.
As for painting the frame, you have a few options. The more you spend, the stronger it will be and the longer it will last. Of course any of these will have to begin with some prep work to get it smoothed out.
- The cheapest option is to rattle can the bitch. The paint will tend to chip off and rub off much easier, but at the low cost of spray paint, that's not a big deal as long as you don't mind touching up the chips and other damage.
- The middle option would be to have it professionally painted, or paint it yourself with pro-quality auto paints if you have the equipment to do it. The paint will be more durable, but it's still going to rub off and chip some, as any paint will.
- The most durable, but likely the most expensive option is to get it powder coated. This bakes on a hard shell over the frame which you will have to try really hard to chip or rub off. Most of the time if powder coat gets badly damaged, either it wasn't done properly or you did something horribly wrong like bend the frame in half.
If it was me, and just doing a quick and dirty rebuild to get the machine looking better on a budget, I would go with the rattle can method and just touch it up from time to time. If you choose to go with the original color paint it'll be even easier to keep it looking good, and there will be less prep work involved as well.
If you're going to rattle can it, make sure you choose a good quality paint (not the walmart 94 cent special) and do a test sample first in an inconspicuous area of the frame. Make sure it dries properly, doesn't discolor when touched, and doesn't flake off too easily. Silver paints especially like to change colors because the metallic flake in the paint will rub right off the surface. Also use caution with automotive spray paints like DupliColor. They look great but aren't as durable as a standard Krylon or Rustoleum type paint. Clearcoating it would help with the durability.
Hope that helps, did I miss anything? (That should keep you busy for a while anyways)