Here's a good thread about making reasonable power with a 22RE (
LINK)
In that thread they recommend the factory header and down-pipe, then 2in cat and pipe to the muffler with 2.25 out of the muffler.
I used this setup on my truck and did notice a difference. I would not add a header unless you are going to be in high rpm ranges. I had a LC engineering header on my truck and I don't recall much of a difference, but I did have issues with the bolts loosening. This was on an 85 pickup with a 22R.