Thanks for the reassurance!
I asked and the guys at the dealership are looking into the feasibility of making a bracket or something to retain the original heat shields. Will keep everyone updated!
I had the same issue with the heat shields and the factory now have a new mounting system which retains them. More on
http://www.talkmorgan.com/ubbthreads.php/topics/322651/Re:_Exhaust_/_Air_Cleaner_upgr#Post322651
Alternativly, there are 2 M3Ws in Austria who's owners have fitted MMC Stage 1 with heatshields. They had to weld the screw holders onto the silencers and also construct a revised mounting bracket. I don't have thier details but Laurens should be able to put you in touch.
I would say the car is transformed with them - it is so much smoother and free reving - sounds good too!