No, the headers and gaskets should fit perfectly without any leaks. Loosen everything back up and re-tighten evenly. Be sure the gaskets are seated and the flanges are perfectly parallel as you tighten them up. If a gasket got squished crooked you'll need to get a new one. Also, don't try to over torque the flange nuts in an effort to stop the leak. A stripped thread or broken stud would be a real pita.
The little black thing with the hose clamp is how you put your right side exhaust cover on.