I just did this not too long ago.
I installed the header pipes per the instructions and left the pipes loose, to help with fitting the collectors together, and then the mid pipe and muffler. I started tightening things from back to front aligning things as I went forward and torqued the header nuts last.
I put everything together dry and after it was all tightened up, I fired the bike up to check for exhaust leaks and found none. I then let it cool completely and retorqued the header nuts before putting all the plastic back on. I found no problems with the fit to the faring when done.
When I put the full muzzy exhaust on a couple of years ago I used these style nuts ...
https://www.amazon.com/Bolt-Fuji-Style-Metric-M8x1-25x12mm/dp/B005PU94NY/ref=sr_1_3?dchild=1&keywords=bolt+fuji+style+metric+locknuts&qid=1620211706&sr=8-3I don't remember if these are the correct size so you will need to check that before ordering, but this is the style I got and I just re-used them for the BW header.