RandyB has a point, the tips are easy to clean if you use metal polish every now and then. Not necessary each time and most products will do a good job.
I read a few detail enthusiast sites and figured out that of the stuff I could get my hans on quick, Swissvax was one of the best. I was in no mood to shop around for the best of each product, and since my impression was that all their products were reasonably good; I bought the Master Collection with Concorso wax.
BTW: I'm a neat freak and really like the bag. Keeps all the stuff in one place and looks good while doing it.
As requested: Exact procedure for the exhaust tips:
1. Sprayed on a mild Swissvax Wheel and water solution. (1 part soap, 4 parts water).
2. Washed them with a MicroWash cloth and lots of water.
3. Polished them with Metal Polish cream and soft "one time cotton cloths".
All in all it took less than 10 minutes, but I waxed the car between 2 and 3 so the tips were dry before I polished them.
The one thing I really like with all the products that came with this set is that they are dust free, and with the exception of the Cleaner Fluid, very easy to apply and remove.
Their products are [insert: very] expensive, but keeping the car clean has never been as easy as now.
Here is a list showing the contents in the bag: