Still a good idea to have the headers off the motor so you can lower it into the engine compartment without them getting in the way of anything or scraping the paint of the compartment itself. Lower the motor little by little and periodically check that the headers won't cause a problem with anything. Once you're sure it will go the rest of the way in, bolt up the headers and drop the motor the rest of the way. Sure beats assuming it will go in smoothly with the headers attached, fighting with it for an hour and beating up your engine compartment only to pull it out, unbolt the headers and try again.
