Are you talking about the 2.0 stock turbo, a aftermarket turbo, or a custom turbo for the 2.4?
If you are talking about the stock turbo I believe right after the turbo exhaust manifold is a spot on the frame to have a curved heat sheild right above the Cat converter. The Sky has a Cat as part of the downpipe for the exhaust system. It is the first I have ever seen where the cat is so close to the engine.
If you are refering to exhaust sheilding I believe the factory had some at the connect flange for the cat-back all the way to the channel bend for the exhaust.
2008 Saturn Sky Redline
Paint: Silver Pearl