I wouldn't do this.
Not only b/c it's futile, but the vid is specific to unpolished stainless. I believe...and I could be wrong...that the headers on the M3W are plated. If you use all those abrasives, you will basically take the plating off.
I like the bluing, it gives the car that mechanical look that is so inherent in it's function. If it bothers you, as others have said, either wrap them or swap them out for the black ones.
I believe the headers are plated, so you're right that this method would remove the plating. Thanks for this feedback.
