Another thing you could try, and I've had this work pretty well, is to lightly pass the painted area over a candle flame. Ya know how if you slowly pass your finger over a candle, the flame leaves a black streak of soot on your finger? Same principle here. Paint the exhaust steel or aluminum and then once it's good and dry (24 hours at least) pass it over a candle flame slowly and carefully.
WARNING: BE CAREFUL! Don't use the candle near your paints or other flamable objects. Don't hold the model too close to the flame or go too slowly or it'll melt (we've all stretched sprue, right?). Practice on a scrap piece of styrene first.
Once you're done, seal it just like you would other weathering (drybrushing, washes, etc).
I've had good luck with this, be curious if it works for others.