Actually, you're going to need to buy some copper exhaust crush gaskets on your own (like $15 maybe?). These sit between the header's collar and the engine head and crush down to ensure a good seal to the head. Be sure when you take off your old exhaust that you make sure the old copper crush gaskets have been removed as they will probably be sooty and hard to tell apart from the head. Take a flat screw driver and feel around on the flange surface on the head, you'll probably find that they pop right out. Everyone may have already known this, but it wasn't mentioned, and if you haven't done exhaust before it's a horrible way to screw up.
Also, even though the pipe is designed to be quick release, I'd suggest putting it on the engine with all of the header parts attached together (metal sleeves, collar, and header). It's much easier this way. If you have to take the header off or if you were planning on putting the header on after you get the little guides bolted to the engine you're going to have to yank and pry on the outside tubes a little bit to get them to slide on as cyl's 1&4 are at slight outward angles. I jut found it easier to bolt up like a traditional header.
You also may want to take the inserts out of the pipe and put a thin line of copper RTV around them and then reinstall on the header to create a good mating surface between these two parts. I had no leaking initially, but after 1000 miles I had to do this as I developed a leak around the #2 header to flange connection.
As far as HP increase, there's probably not much in it and the racing guys would probably laugh at me if I told you it made any difference at all to the positive side. I can tell you that it lowered the back pressure enough compared to what was on there (old mac 4-2 turnouts) that I was over-revving a little when I first tried to downshift by rev-matching after getting the pipe on. I.e. it revved easier, I was giving it 500 too many rpm when matching. Other than that and the noise and maybe some ground clearance improvement, you probably won't notice much. I think the sound biases everyone to say it's faster. It did lower the weight for me by a considerable amount though, so there's that.
