1) don't let snoopy see that you said 'headers', cuz you have only 1
2) definately buy it online, and also, a header would be a good idea.
To get a full free flowing setup, you want an intake, a good header, a high flow cat, and a cat-back.

Try these sights:
www.groupbyucenter.com
www.modacar.com
www.coximport.com

and ebay if you trust it and can find a reliable seller.