Check these guys out:
STEELSHIELDS - Personalized Heat Shields for GM Cars - they have a section for Cobras.
Heat shields would be a more desirable way to protect your kids' shins (and your pipes) than covering them with a wrap.
The best thing to do though, is to continually emphasize and remind the lil' fellas about the hot pipes. Bring it up every time you are around the Cobra or whenever it comes up in conversation. Kids are sponges for knowledge and there are many dangerous things in life that we take it for granted they are reasonably safe from simply because they have been taught to avoid them.
Snakebite from a hot pipe hurts - but it's not terminal; and like others have said, the first one is usually the last. I remember the first (and last) time I let my leg touch the pipe on a motorcycle. I was about four or five and my aunt had just made a visiting policeman give me a short ride around the grounds of our hotel. Nobody had ever told me and it never occurred to me on my own that the nice shiny thing would be so hot. Burned me real good. I remember fighting hard not to cry in front of the policeman, and my respect for hot exhaust pipes endures to this day.
