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They can come loose but if you buy stage 8 locking bolt's for your headers you'll never have to tighten them again I put them on mine and no problems..
I'm running header on three of mine, and never had one loosen up or fall off. I warm up the engine then retorque and then check it a few weeks later and never had a problem.
Headers can be a pain, aside from the noise and heat, theres fit and access to the starter...
You really need to look at the design of your current exhaust to tell, one of mine was such a good design, I felt I didn't need/want headers. On my FE's they are almost a must because the log style exhaust is very poor.