I recently installed a TurboXS TBE (catted) on my 04 STi. I am very happy with the performance gains (I also have Cobb's Access Port). The turbo spools up quicker and earlier, and the car pulls hard all the way to redline with no boost creep . It also has a nice throaty sound, but not too loud at lower RPM's.
Because the downpipe is so much bigger, the factory heat shield no longer fits over the turbo. I am curious what others have done regarding this, simply gone without a heat shield or maybe fabricated a new one? Right now I am without any heat shield and I worry that the heat from the turbo and downpipe is reducing the effectiveness of the TMIC.
I know that txs themselves have been with out a shield for quite some time. I do not have my shield on their either and did not notice much of any difference at all. I do plan on fabricating one myself over the winter though. I have basically been waiting to see what exhuast I end up with as I am now about to install my 3rd set up this weekend or maybe tonight. I will also be sticking the vf39 on the car this weekend as well. My fear was that something would melt down there but everything is looking fine.
I just cut mine with a grinder. If you trim the back and bottom halves, the top fits, and that's the part that matters (to keep heat off the intercooler).
However, it's such a pain working on the turbo with the heatshield in the way, that tonight, when I finished up YATS (Yet Another Turbo Swap), I just left that crap off. It's so thin, I doubt it does much anyway.
When I did my TXS TBE, I trimmed the heat shield a little, and put it back on. Now that I went with a larger turbo, I have a turbo blanket, and I plan to make my own heat shield sometime down the road.
You could try the cobb heatsheild for $50 (very nice item)
Or the SPT Turbo Heatsheild for about $60 (also quite nice)
Or perhaps the Cuzco Turbo heatsheild for $69 (I have one of these)
. It also has a nice throaty sound, but not too loud at lower RPM's. 
