Just installed my HO header on my 2nd gen LX this week!
While I was doing the work for the header, I also changed the oil pan gasket, valve cover gasket, and 02 sensor.
My wagon is a '93, and luckily didn't have an EGR tube to hook up, so I welded over the two holes for the EGR setup on the 1st gen header. I used the PCV vent from a '97 ZX2, it certainly helped, but needed banged a bit itself in order to fit past the accessory bracket for the alternator. My car also has A/C, and that certainly makes the job of getting the header in place quite difficult - be warned. Once I got it past the A/C lines and tranny mount, it bolted in nicely, expect for the leftmost bolt that sits behind the alternator - I had to unbolt the alternator and move it back a few inches to gain access to the bolt. I installed all new bolts and washers, used high temp 1200 degree paint on the header, PCV vent, and valve cover. I had to extend the emissions hose for the PCV valve about 5 inches to accommodate the new vent. I bought the Bosch sensor for 50 bucks, and made sure I got the one with the 16.5 inch wiring harness - it needed it, since the 02 sensor bolts in to the opposite side of the HO header. I removed my radiator to gain better access to everything and that made things a bit easier, too.
The whole process, including all the prep work for mating surfaces of the valve cover, oil pan, and exhaust manifold locations, painting, etc. took me about 12-13 hours, about 100 bucks in gaskets and miscellaneous parts. I took it to a muffler shop the next day and had a new 2 inch exhaust put on it, straight with no cat, with a glasspack for 180 bucks. It sounds beautiful, has a nice crackle around 3000RPM, nice low grumble beneath that range, and is a very comfortable crusing at 60 MPH down the highway. The car pulls much smoother now, has a little better throttle response, and experiences less of those "dead" spots in the power band. In my opinion, it's well worth it. It made me fall in love with the 1.9 again.
My only complaint is that the header hangs too low, where the two pipes bend and go backwards. It hangs a bit lower than the transmission support crossmember, even. It also bends too far up towards the floor at the end of the header towards the collector pipe. I had the guys at the exhaust shop heat it and bend it to make it more parallel with the floor.
In addition, the header really needs a heat shield of some sort. I'm going to buy some plug wire heat insulators ASAP, because it gets REAL friggin' hot being inches from those pipes.
Hope this testimony helps those who are thinking of doing it. Here's some pics, feel free to PM with with any questions.