I always start with dyno headers. I match the dyno header to the customers as close as possible. The dyno headers have Egt probes and o2 sensors in them. At some point, usually after everything is dialed in close I will switch to the customers headers. I loose my egt data but most cases it's not practical to weld bungs in the customers headers for egt and o2s. I have collector extensions with o2 bungs I can use on the customers headers.
