mild steel coated isn't as strong as stainless, so there's more potential for the header to crack (it happens, sometimes), but a flex pipe might get rid of most of the things that might cause a header to be damaged. you need a flex pipe for sure.

2.5" custom exhaust would be piping from somewhere, mandrel bent, with however big of a resonator you want (some people run small ones, some run larger ones. smaller ones will make a louder, exhaust note and vice versa for the big ones.), welded to a muffler section. you can go with apexi, magnaflow, ES, whatever you want.

the OBD2/cel issues usually come up with garbage "high flow cats" that you get off of EBAY, but sometimes even the good ones will trip a CEL. however, i think as long as you get an OBD2 compliant high flow (that has an o2 bung welded in it, for the secondary O2) you should be ok. if you get a CEL, you can get an O2 sensor hack that will fix the issue.

as far as where to buy the flex pipe and the exhaust piping from, www.kteller.com is a good place for stuff like that. it might just be easier to buy an apexi or greddy exhaust, and they're good pieces, it's just that most JDM exhausts have a 60mm inner diameter (2.36") which wouldn't be ideal for a system that's based on 2.5" piping. as far as the header's performance, it will be an improvement over stock, but you might not really notice really big gains until you get that exhausts. when you do breathing mods, you don't want to have a bottleneck anywhere in the system and the stock exhaust piping will definitely create a bottleneck.