This ^^ If they won't hold up to the engine being run at 2000-3000 RPM for 20-30 minutes then they won't hold up to cruising down the road at a steady speed. Unless maybe the short block is also fresh and hasn't been run at all yet.
Basically all you need to do is make sure the headers don't get too hot during the process. Break-in will only put extra heat into the exhaust if the tune is off (not enough ignition advance and/or too lean) or the piston rings are old-school cast iron and haven't seated in the bores yet (extra friction = more heat and load). If I was worried about it I'd rig up a thermocouple or contact thermometer (not IR because they're too reflective) to monitor the temperature while it's running.
