I had the same issue with my '86 wagon. The header pipe had basically fallen apart in several places (including the Y). I decided to go ahead and replace the catalytic converter at the same time as the header since it probably would have been a huge pain to separate the two and I figured the cat was on it's last legs. It turned out to be quite a fiasco. I got the parts at FCP and installed them. The car was quieter but not that quiet - I get underneath and find out the damn new header is leaking! I call FCP and they send my another - when this one comes I inspect it pretty closely - the welds look very crappy - but I can't find any definite holes. So, I install it, and it begins to leak as well. By the way these were both the A & B brand. I call FCP and tell them and Nick says he can get me a Bosal, and that they've had a terrible batch of the A&B headers. So, I get the Bosal header - inspect it very, very carefully. The welds look to be of much, much better quality, but still I find a small hole in one of them. I call Nick at FCP and he offers to inspect one personally and send it out - being impatient I suggest that maybe I can get it re-welded locally. He says that's fine and if I do that he'll reimburse me. So I get it welded by an old codger for $5. After 3 header installs the exhaust seems finally to be under control. Next time I may just let a good exhaust shop take care of it! I originally had a quote for $420 - I got the parts for ~ $200. If my labor were worth anything I'd have come out on the short end doing it myself.
I hope you have much better luck. If you do it yourself inspect the parts extra carefully with a flashlight shining through welds. Make sure they're tight before you take the trouble to get under the car and put the parts on. Also don't get A&B - Bosal is much better.

Tom
'86 240 DL wagon, 233k