Ryan, there are a lot of nerds who would argue this point.
Here's how I've heard it (I haven't made up my mind really yet):
"They say" thin-gauge tube (say 16ga) heats very quickly and is so light that very little heat is actually taken out of the gas stream (has low thermal mass). It would also cool very quickly.
"They say" the heavier manifolds absorb a lot more heat from the gas stream before they come up to temp - so in theory they should be less "snappy". However once the manifold is at temp, it's going to hold it there longer than the light version.
The big thing I see missing from "They Say" is the effect of radiation. The heat loss from the glow is significant and in some cases could be far more than people think since it follows a power law (like T to the fourth power). I have never seen any quantification of this effect in the hi-po diesel world but there are SAE papers published on things like this.
So, whatever, I guess that is a non-answer. I've always thought the ideal scenario would be to use thinwall inconel, ceramic coat it, and wrap it. Low thermal mass, heats fast, stays hot as well.
My cheap two bits for today. :bang