I agree, I tried the copper gaskets with my hedman headers and they leaked bad. I think the issue is the hedmans have a raised bead around each port that is supposed to seal the gasket better. The copper gaskets also have a riased bead around each port. What I found when I removed the copper gaskets was that the raised beads don't match making for nice paths for the exhaust to leak past.
I have been using Fel Pro header gaskets and have found them to seal very well, 20k miles and I am just now starting to get a small leak I can hear under load.