I think about the only cars you'll see without the manifold heat shield are '97 and earlier models that didn't come with them from the factory. Some of us have added them, because it seems to keep temperatures down a little bit, and it looks a whole lot better. Removing the engine cover shouldn't buy you anything, but if you modify the intake pipe at all, it probably won't fit anymore.
The top of the heat shield clips onto two of the manifold studs, and that's really enough to keep it on there, but there's a protrusion on the manifold that should be drilled and tapped for a bolt or stud to really hold it on securely. Since it's cast iron, it's easy to drill. I used an 8mm stud since that's what Saab used on the 9-3, and dressed it up with a stainless steel acorn nut.