One trick I've learned to see if it is indeed your headers that are leaking or not is... to take a rubber hose (that you can bend) and place one end near your ear and the other you will move around the seal of the headers. While the engine is running if you hear a loud howling in the hose/tube, that will mean you have a leak in that particular spot.

You will know when you hear it, the sound is quite distinctive trust me!