The car definitely left the factory with a heat shield. It`s 2 pieces that encase the cat, maybe of a light bendy metal and some padding on the inside. S1 and S2.
https://www.rx8club.com/rx-8-discuss...icture-256148/ includes a picture of a 2009.

 

You should maybe spend a little more time around here. There is a thread called "The Dumb Question Thread". It's purpose if for drive-by questions like yours. He wasn't calling you dumb; he was suggesting you use the correct thread. I, however, am calling you dumb for your stupid, childish reaction.

There is a prominent New Thread button at the top of the New Members forum. Click it to start a new thread. It is poor etiquette to pollute someone else's thread with your troubles.

For the record, thermostats do not go bad and cause smoke. They either stick open and cause over-cooling, or they stick closed and cause actual over-heating. They do not ever cause your symptoms. I'll give you a maybe on the water pump. You could be on the right track there. Take the undertray off and properly inspect the water pump from underneath the car.

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In the words of my generation...
Take a chill pill.

He was referring to a specific thread that is a safe place for new people to ask questions without getting flamed.
Dumb Question Thread - no flaming or sarcasm allowed

 

Oh, that makes sense. It's just included as the part of the cat and mid-pipe. Looked up and saw some of them rusting through and rattle.

Like the others have pointed out, I am not calling you dumb, that's just what our "miscellaneous troubleshooting" thread is called.

 

This is my OE cat. You can see the heat shield wrapped around the cat. Here it is next to my BHR midpipe and HJS cat, before BHR kindly fixed the installation of the cat that was screwed up by the "best" exhaust shop in the area: