Burning oil?

If its a rebuild, its possible the rings aren't seated all the way and its burning it that way. I am having the same problem, but have told since its a rebuild that it will burn past the rings till its seated all the way.

What do the plugs look like?

I have just a couple of thoughts...
A new engine will naturally run hot due to friction of mating parts wearing in.
Oil burning will not discolor the header steel unless the oil is leaking right on to the pipe.
(Which yours is not)
A new engine will burn oil during break-in (500 miles or so) as the rings seat.
If the rings don't seat properly after that, then worry about it.
If the ring gaps are not staggered properly on build, it is said to cause issues.
If your oil rings are in the piston pin, they say it could cause oil consumption.

I would break it in for 500 miles or so, not sweating the small stuff.
The rings seating will not only let oil into the combustion chamber, but also gas into the oil.
So make sure to change your oil right at the end of whatever break in period you decide to use.
Also, the metal worn from all those parts mating will be in the break in oil.

What weight oil are you using?
Too light and you an burn it easier, too heavy, and your new (read tight) clearances will not accept thick oil as easy.