I got one on the D2.
D2 was brothers, then mine(for a short time) ... and now brothers again ! (and no, he can't make up his mind!
)
Turbo heat shield has been off it for a while now, and I had plans to fix it(it's cracked and some fixtures broken .. a pop rivet somewhere .. can't remember)
.. anyhow, due to laziness more than anything else .. I got a blanket thing a while ago for it, not some much as a method to improve power/response/cooling .. well yep, cooling down the LHS of the engine bay a bit.
I've commented elsewhere, his D2 has an ARB compressor installed about a foot from the turbo, next to the ABS pump, and the turbo produces too much heat for the compressor to run for any length of time after a long-ish run.
if the drive time is say 1 hr or so, and not too hard .. or producing too much heat .. compressor runs fine .. more than long enough to re-inflate tyres for a good 10mins or so.
But, if the drive is say more than an hour, a bit strenuous and obviously producing more heat(from the turbo) .. compressor runs for about 30secs and gives up.
Touching the compressor, it feels roughly 60-70 .. ish degrees .. warm latte milk kind of heat .. can touch, but not too long. It's not steaming hot type hot.
But for sure, with this latent heat build up .. compressor is not happy at all.
So on goes the turbo blanket, and compressor issues solved. 
That I can feel, zero improvement in any noticeable way. definitely less heat when popping the bonnet after a run on that side .. but note that this is from the point of view that there was no heat shield fitted at all.
Most turbo blankets I've seen have two studs on either side of the wrap where a spring is fitted to keep it snug. Can't use them in this application. Also, had to cut a slot in the blanket for it to not foul the wastegate arm too.
No biggie there either.
PCV valve needs to come off to fit the blanket, but can be removed with brute force without removing the PCV valve .. but it won't come flying off itself tho.
If you don't have a heat shield, Id' say at least use a blanket(they're cheap .. mine cost about mid 20's off ebay) ... if you have the heat shield .. I'd say don't bother(unless you want a bit of bling).
Also note: they do stop A LOT!! .. of heat coming off the turbo too. The one I got is a goldy coloured piece, and has a carbon fibre looking weave to it .. you can touch it most times after a run .. Can't remember what kind of heat is on the outside, when the turbo is obviously at sizzling temps on the inside .. but maybe in the 50°C range(IIRC) .. they do stop a lot of heat at the material.
Like Shack said, if you have a secondary battery installed near it at the firewall(common DBS I've seen) .. could be an advantage to have one.
Arthur.
All these discos are giving me a heart attack!
'99 D1 300Tdi Auto ( now sold :( )
'03 D2 Td5 Auto
'03 D2a Td5 Auto
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