KAK, Run the header nuts dry. Stay on top of the nuts for a few weeks to a month's time. Use new gaskets so you can keep the crush going as the header will loosen up some. But once you tighten those down, they won't go anywhere. No one is having header problems when they bolt up aftermarket or stock headers. It's a good idea to walk the bike with a handful of tools and work each screw, nut, and bolt you can reach easily. This is regular maintenance like make sure the wings don't fall off is check every now and then.
The trick is to tighten the flanges evenly and not cock it to one side which soon loosens enough you hear complaints. OK, I just came back from catching a few flange nuts collapsing more into the gaskets, meaning, they are tight enough without backing off. You do not want to jam those nuts home in a way. That floating washer on the nut is line pushing an umbrella flat. This helps load the nut so it won't back off. You do not want to stretch the stud threads. The nuts should spin on and off by hand, it is that soft a tightening.
Once you have the header back in the port holes, you float the pipe assembly as you hand tighten the header. As long as you shake the assembly home where it wants to sit, the mufflers will slide in place fine. I mean, the [muffler] gasket can be saved if it still is in one piece and not falling apart. It should fit over the coating without any problem. Then tighten the muffler flange and then the hanger bolt in that order. The thing is, you do not want to load the flange studs at the head when all is said and done.
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