Finally installed my Megan Racing header here are the details.
I had a bit of a frustrating time trying to remove the stock header. Two of the three bolts connecting the down pipe and manifold were seized and I stripped them pretty badly. So I had to bring it in a muffler shop and they installed it for a good price fortunately.
The down pipe didn't connect with the stock cat straight, but it is connected nonetheless. I notice some kind of mild burning smell after the header was installed. It doesn't smell like an exhaust leak, I'm hoping it's just the header breaking-in.
All and all I'm pleased with my entire exhaust and intake set up, it was all cheap, sounds great, looks sexy, and now that I have upgraded my intake and exhaust I have noticed a performance gain. I would guess at least 8hp and removed 30lbs of weight.
Other than getting around to a deep clean on the intake manifold I believe my performance upgrades are done for now. If anything needs to be replaced down the line such as injectors, shocks and springs, radiator, etc. I'll opt for higher performance replacements over oem.