I didn't change the headers. Another lesson from experience. H-D tunes the stock headers for mid-range, where most live and ride. Aftermarket headers often deliver a few extra HP's, but they come at the high end, and at the expense of the mid-range. No thanks. Plus, swapping the headers also necessitates fiddling with the fuel injection. All I did was place the Monster Ovals, kept the stock air filter and headers, and the H-D fuel injection adjusted perfectly. I gained 6-7 extra HP with the Ovals, kept the luscious mid-range (I never ride the H-D near the red line), and I saved serious money by not buying the headers, the air cleaner, or the tuner to get the FI re-adjusted.
I used to go the full exhaust, air cleaner, etc. route, before my slow brain recognized I never go over 100mph on the H-D, I don't drag race at stop lights, and I saw convincing dyno runs of full exhaust systems versus stock, and how they often robbed mid-range performance for a few extra HP's up high.