I routed the wire on mine from the drain plug towards the front of the motor, up the front of the oil filter mount and next to the distributor cap, and from there over the top of the fuel rail back towards the firewall. I recently removed it during an engine pull and didn't see any sign of excessive heat damage from the headers (or anything else) on the coating.
Note that when you install the sensor in the drain plug not to use any teflon tape or other coating, as the sender grounds to the engine through the drain plug, and anything else that gets put in there could interfere with the ground.