Ok, I've been through all of this except for headers on my '01 360 Off-Road, so, here goes:
Cut your convertor out. I picked up around 1.5 mpg and it downshifts less on hills. Best, cheapest (free), and most noticible mod I've ever done, bar none. PM me and I'll tell you how I fooled the downstream O2 sensor.
I had a single Flowmaster 40 which sounded awesome and lasted forever. I recently went true-dual exhaust looking for more power and mileage.
How did it go? I upped the pipe size and went with a Magnaflow copy, zero-backpressure system. Result? no gain. Actually lost some bottom-end power and it got moved to the mid-range which is useless to me. Waste of money, but I got a smokin' deal on the dual exh setup brand-new in the box from the local classifieds.
I did re-locate my upstream O2 sensor to the driver-side manifold and as close to the collector as possible. Reason, because my fuel mileage actually went down and I concluded it was because of lesser back-pressure that the exhaust was too cold and not giving a true stoich reading. After I put the sensor further up the pipe my mileage came back.
Headers? Garbage I think. There is a '98 Ram in the Autowreckers near me with a set of headers on it and that cheap, aftermarket junk has cracks in the center flanges (1/4" metal
). Draw your own conclusions, I could buy them for $25.00 but I couldn't be bothered with that crap. If you spend all day at 7000 rpm in your Ram and need that extra 15hp, knock yourself out, but mine spends all it's time at 1800 rpm and it would probably cost me power at that level.
Hope that helps, real-world experience, not theory. Can attach some photos of my system if it helps you out.