There's a retaining clip on the end of the header at the cylinder that can be hard to get on the new header. Seems like I used snap ring pliers to open them up. Here's some tips:
1. Wipe down the new header with alcohol after you have it in place. It'll keep you from burning in fingerprints when it gets hot.
2. Mark the O2 sensors so you know which one goes where.
3. Put a little anti seize lube on the 02 sensors before you screw them into the new header.
4. Put a little anti seize lube inside the muffler inlet. It'll make taking off the mufflers easier in the future.
5. You may find a strap wrench and some WD 40 will help get the mufflers off.
6. As was previously mentioned, put the heat shields back on after everything is assembled and leave them loose until each piece has been put on. Don't over tighten the heat shield hose clamps.
7. I was unable to get my torque wrench on all 4 nuts on the cylinder, so I had to estimate.
8. I used new header gaskets. Some say you can reuse the old ones, but what a pain it would be to have an exhaust leak and have to disassemble everything.
9. There is a torque sequence on the header nuts, but I don't recall. You can probably Google it.