You might be considering only an exhaust upgrade at this moment in time, but just as night follows day, you'll undoubtedly be smitten by an attack of GAS (Gear Acquisition Syndrome) and want to add other upgrades in the fullness of time. So get a few quotes from the specialist insurance companies advertising their services on this forum.
When I was originally bitten by the upgrade bug, I chose a modified car policy arranged through Adrian Flux Insurance Services. Since taking out that initial policy, I've very sadly been unable to resist the urge to purchase further upgrades (with one or two notable exceptions most of us can't!), and just as Alec stated; it has cost me the grand total of ÂŁ0: I've paid the same price for my insurance come renewal time ever since. Whether or not that happy situation continues this year remains to be seen (my policy is due for renewal next month).
(Edited for clarity)