You need to be careful of running just headers. It is rare but the exhaust valves can be damaged from "thermal expansion". All metal does best when cooled down evenly.
Thermal expansion is when it cools unevenly, think of it this way. You heat metal to 500 degrees. It cools down 1 degree every 3 seconds (let's just say for arguments sake). Now take the same metal heated to 500 degrees. Instead of cooling evenly, it cools 1 degree, then heats up a 1/2 degree, then cools 1 degree and repeats until cooled. This is what is referred to as thermal expansion. It actually weakens metal and causes premature failure. It is common in metal coils on boilers when not cooled properly.
So back to the exhaust valve, like I said it is rare, but the introduction of cold air that close to the hot valve is a recipe for failure.
One more point on exhaust. The best running engine would have no back pressure, in fact it would have a negative pressure in the exhaust, meaning it would be pulling the exhaust out of the engine.
Let's simplify an internal engine for the sake of exhaust arguments. It has an intake with intake valves. It has a piston that drives the air and compresses it. It has exhaust valves to exit the burnt gases. A perfectly working engine would draw enough air to mix with the proper amount of fuel. It would compress to the right amount to create as much energy from the fuel as possible. It would then exit the spent gasses completely so as not to containment the new raw fuel/air mixture that is coming in. (because anything left in the combustion chamber after the exhaust valve closes is not helping the incoming mixture).
One more thing, warm/hot air will actually slow down in it forward progression when cooled. So if you have an exhaust system that is 2 1/2" at the headers and muffler, and then you jump to 3" for the last 3 feet, you are actually loosing the vacuum affect of your exhaust system and creating back pressure, however so slightly mind you, but still the same effect.
All of the above statements are so minute on our type of engines you would probably never notice them. Only on blown race engines on dyno's would you be able to tell the difference probably.