After the installation of the Y-Pipe, it is mandatory to reset your ECU and allow it to relearn the new parameters of your car. Hence, no gains will be felt immediately after installation...neither in power, nor in consumption. Once the ECU has relearned the new settings (takes about a week), then you may notice...
a) slightly less torque below 1500 rpm
b) significantly more torque above 1500 rpm
c) slightly better fuel consumption.
I can't see that changing the header is going to make so much of a difference. A nice after-market header will, of course, yield better results, but compared to the gains of the Y-pipe, these gains would be marginal for the very difficult job of fabricating a competent new header, or even bringing some in from somewhere.