What causes exhast leaks on the exhaust manifold/header?

[Neejay]

What causes exhaust leaks on headers? I have tightened the bolts + new gasket that came with the header, and I still get a high pitch rush of air sound when accelerating. This didn't start until I installed my header. I thought it was the EGR tube since it was cracked, but I took that off.

I even rebolted the header on + shifted the gasket, to no avail. Im using 2 egr/aiv oem plugs, but is there anything I can put around the threads that wont burn off?

EDIT: If the gasket is in the way at all of the ports, would that cause the exhaust leak sound?