Leaking Headers

You should be able to see if they can be tightened up any more by looking at the space in the clamp where the bolt goes through.
If it's hard to see or they look tight then undo the exhaust pipe stay which will give a bit of 'waggle' room to see if it's just the headers that are are loose. Or if the inserts (they may be threaded or push in) into the head are loose.
You may have to remove the whole lot to tighten everything up or use some high heat silicon.
This is the stuff I use, it turns into rubber and seals/holds really well.