I use my Xplorer for offroad/Mud and I end up getting into water a lot.
And when it's colder out and you get into the water you get steam all over the place from the water hitting the exhaust pipe and I was wondering if this hot cold shock is really hard on it?

 

In time the constant quick change will harden the metal on your muffler and will become fatigued and crack. It's part of the game there is nothing you can do to prevent it.