No brainer, do it.
Even if you just use a peice of cardboard it makes a massive difference to the heat getting to the filter.
This looks crap but who cares?Its only until its got the Z32 maf and 3" inlet pipe on when its remapped, then I have some alluminium sheeting to make the real one.Even when the engine bay is raosting its stone cold, I do have this feeding it cold air though:
I made it myself from fibre glass and some central heating bits 'n' bobs.Its not a perfect finish but it does a perfect job.