Although this is old(Jul '05) I wanted to weigh in. A supercharger or a bottle might wear an engine down but I can't see how headers could hurt anything. In fact, we will most likely have to replace our factory headers because of the factory heat shields that are in place. The shields act as header rap (which can be found in a racing shop) to keep the created heat away from the engine compartment. Less heat equals more performance but at a price. The heat will eat holes in the headers, so if you need to replace them, why not go aftermarket?
The only concern is not to expect much horsepower in return. A number of years ago a Mustang Mag dynoed aftermarket hearders on a 5.0 and the swap neted only 1 additional horsepower on a 225 horse motor. So without an intake, or cat back system, please don't look for much. Headers were all the rage for choked 1970's performance cars, but the 2003 and up X's have a pretty decent factory exhaust. If anything, the Y pipe after the headers needs the help.