If you are going to get a tune, I'd eliminate the post cat O2 sensors completely along with the secondary air pump when you install the headers. Any decent tuner should be able to code them out. It will save you a lot of headache.
As far as headers go, The Bimmerbrakes headers (now sold by europarts online) quality and fit is pretty good. I'm running the V3 version which are equal length tubing but are much harder to install than the V1 version due to the positioning of the pipes to make them equal length.
Dinan CAI &Throttle body, ESS Tuning TS2, Bimmerbrakes gen3 headers, UUC SSK & DSSR. Achilles oil pump, VAC oil pan baffle
M3 Motor mounts, UUC Trans mounts, Modified clutch style LSD 3.15, TMS front subframe reinforcement, Koni Yellow sports,
H&R sport springs, UUC sway bars, BMW Perf. Rotors, UUC SS brake lines, Hawk HPS pads, CSL replica wheels,
Rotora strut bar, FXR HID conversion, M3 Mirror conversion, BSW stage 1 speakers