I tried copper and they leaked really bad. The raised boss on the copper gasket does not line up with the raised boss on the header flange very well. I have been using two Fel-Pro header gaskets per side with no leak issues and have not had any issues with bolts loosening, it's 15k miles and counting.
FWIW, the $135 painted Hedmans I purchased in 05 have a 3" collector with the ball socket style flange and included the socket reducer to 2.5" pipe size. They also came with header bolts with a reduced size head that are about the only thing that will fit in all the bolt holes. None of the fancy locking header bolts ca be used in all the holes on these headers.