First of all, figure out your goals and what you want to do before you start going crazy and buying stuff you won't need in the long run. Is this a daily driver or a track only car? etc. If you buy a header now and then decided to go turbo, you just wasted yourself some good money.
You should really research what a header, or an exhaust really does before you go and buy yourself one.
The most important thing about "building" a car is tuneing, and keeping good maintenance.
Engine preformance isn't everything, think about your suspension which also makes your car go faster.