well if you bought them new, they should come with a set of copper gaskets. If you know the trick with installing gaskets then you're fine, but since you didnt mention, i'll explain.
Drop the H pipe and remove the stock headers. I'd also recommend pulling the spark plugs too (this is a good time for a tune up as well) When you bolt the new headers on, put in the first and last bolts on each end first. The header gasket should be made so that each end has a "hook" instead of just a hole where the bolt goes through. This is so you can just drop the gasket into place, so that all the rest of the holes are lined up. Then continue with the rest of the bolts.
One thing i'd surely recommend if you've got a little extra cash, is buy a set of allen key style bolts instead of the crappy 7/16s bolts they come with. The wrench style bolts are GOING to strip, one way or another, no matter how careful you are or what tools you use to tighten them with. Since you're going to have to retighten them after about 10-20 miles of driving, the bolts are going to see a lot of wrenching. You wont be able to fit a socket onto them either, so your only hope is a small open ended wrech, which means no matter how high quality the wrench is, it's going to spread open under torque and strip your bolts.
Get the allen key bolts, which arent going to strip as long as you're using the right size allen key.
Make sure you use a flat scraper or something to clean off the heads around the exhaust ports before you put the new ones back on, and MAKE SURE you dont get anything into the spark plug holes. If you're going to do a tune up, you can leave your old plugs in to prevent this from happening, the only problem is they're going to get in your way and you might break them, but that's not a problem if you're putting new one in.