Yeah, the more disassembly you do the better it'll turn out.
The really corroded pieces oughta get media blasted or at least wire-brushed/sanded, which isn't as expensive/tough as it sounds.
Sometimes it makes more sense to just get new pieces, depending on the cost (sometimes they're a lot cheaper than you'd think).
If you want to keep this a simple/manageable project, I'd do the valvecover and heat shield as well as you can (taking them off to do them), then consider the following:
Sorta half-@$$ed alternative (primarily for unpainted areas) that I did on my beater-Blazer: Use a brass brush on a Dremel/etc. to remove the worst of the corrosion (like where cad plating has been compromised and where aluminum pieces have oxidized). Then use a metal polish on the aluminum and an engine dressing (or even just something like 303) on the pieces that were cad plated. It works better than one might expect and you can always go back and do it properly later.
I've also had surprisingly good luck with BlackFire on some of these pieces, even slightly rusted black-painted pieces; it's sure not a concours level fix, but again, it works surprisingly well. I did this on the MPV's (pretty nasty) rear brake drums after last winter as a temporary fix...six months later they still look good enough that I haven't bothered doing the job right. So I tried it on some semi-rusty underhood pieces on the Blazer and sure enough, it was a nice improvement. I've tried using both the BF cleaner/polish and AIO, both seem to work OK, then I apply BF a bit thicker than normal and give it plenty of time to dry before I buff it off.