So, I have a 97 ford f250 heavy duty with a 7.5 460 gas 4x4.
I don't need to smog yearly where I live only when/if I sell it, which I'm not planning on it.

My question is can I run headers and dual exhaust with no cat? Will it have any gains? Thanks.

 

Headers will gain you some. No cat(s) or good free flowing cat(s) with headers will gain you a little more. Properly sized exhaust, be it single or dual, is very important to make it all work well.