If you're switching to a Type-R style header, yes. I would suggest buying all the same.

If you're buying a GS-R header, then no...
If you're buying the JDM Type-R header, then you will want to get a 2.5" cat for the JDM car, as well as a JDM Type-R exhaust. So if you buy a GS-R exhaust, or a US Type-R exhaust (what I mean is, an exhaust designed to fit those cars, regardless of manufacturer) you're going to have to do some cutting and welding to make it fit a JDM header.

A carsound cat will set you back about 175 bucks:
http://www.ipsracing.com/engine/exha...sound_cat.html for example. Shop around by all means.

A Type1 Racing convertor will set you back 95 bucks:
http://www.randdmotorsports.com/typeone.html

These are just two examples.