I don't see WD-40 doing much for preventing rust in storage. It doesn't work well at all for preventing rust on machined engine parts. It evaporates or drains off pretty quickly.
Regardless, I believe it's more of a heat issue than it is a damp/wet environment during storage.
Like I said in my previous post, I have never heard of anyone spraying headers w/ WD-40. I have heard of getting uncoated headers hot and then wiping them down w/ ATF. Doing that a few times supposedly will "coat" them and keep them from corroding.