I've been following your build for a while now man, nice work!
As for the question you had..Im not sure if anyone answered yet.
I just got done putting an exhaust on my 96 dx in the summer months. For the whole setup it was really easy man your going to need the following:
Ex header- In your question you referred to it as "headers", there's only one "header" just fyi
Cat converter- I found an older one off an ex civic just because it was cheap and money was tight..If you can get a hi flow cat, do it. I have a link of one its a magnaflow ill send ya for an idea.
Then your going to need the exhaust system of your choice.
Everything will bolt up fine, make sure you plug primary o2 sensor in too the header. Also, since we have the dx model our header from honda has the cat built into it which there is another o2 sensor there as well. Since you will be taking that out the secondary o2 goes where the new cat converter is.. (Right after the header) and the wires wont reach. Go on password jdm they make o2 extender that will let it reach.
Never heard a thing about the sway bar for this..
Heres the link for the o2 extension..I would go with the 32'' too be on the safe side, thats what i bought.
http://passwordjdm.com/PasswordJDM-O2-Sensor-Extension-Kit-P1767C320.aspx
And heres the hi flow cat I would recommend getting. Real good part at a good price. Despite what others may say, don't go with a test pipe. Yes its cheaper but trust me.
http://www.summitracing.com/parts/MPE-22628/
Any more questions PM me