Hey Man.
I know were you've been Dude...
I ended up drilling the studs out. Start by making a pilot hole using a smaller one and use some lube every once in a while. That will help to prevent you from burning the hell out of the bits.
BTW Crappy has a set of 29 Cobalt bits for $40, normally on for $80. That would be the best. High speed steel or even Titanium (Coated that would be) are good if properly used but the Cobalt kick a$$.
For the o2; I don't want to piss you off but mine came off without a swet... Just put a regular opend end wrench on it and that was it. Put it this way I was very surprise...
Don't remember what kind of Headers you bought???
Keep us in touch.
Ghislain.