I was looking into this a while back, and from what I remember not only are the headers them selves are expensive $1,300-$1,800+ depending on brand "Kooks or American Racing" and if you get cats or not.
Also the installation I also heard is a bitch. possible having to cut and hammer, and maybe even having to take off the fenders. Ontop of having to meet emission standards, I think it may throw codes.
TRELOS78 is the only person on here that I think got headers put on his 5.7L WK2, but sadly he never reported back to his own thread