The stock headers are of atrocious design, and getting rid of them is certainly worth it. However, the only real good way of doing this is to find someone to flash your DME over to the Rest of World program (RoW) so that you don't have catalyst efficiency codes turning on your Check Engine Light (CEL).
Hypothetically, you could weld in new bungs into the mid-pipes, after the secondary (now only) cats and extend the wiring for the post cat O2 sensors, but this is far less ideal than just re-flashing the DME. If running North American software and you do not do this, you will trigger a CEL for cat monitoring.
On my 02 S I am running TurboWerx headers (which are catless) and a stock 03/04 exhaust (stolen off my 03 S with 3.8 swap) and RoW software and it's a great setup.
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Boxster S
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