Leave it and it will be fine, it will stop smoking once it all burns off, & it wont tarnish the metal in any way. I've used it for particularly tight exhaust joints several times with no problems. Get it good and hot and it will soon burn off.I'd be tempted to take it off and clean it. The grease will quite quickly burn off, but I'm not sure what would be left behind with copper grease.
You definitely don't want to grease pipe joints, but I'm probably stating the obvious now.
With or without baffle?I cleaned it a bit and now it's ok. The sound it makes when accelerating is sick .)
Thanks guys.