definitely hook some kind of exhaust up to it- even if it's just a pair of cheap mufflers hanging on the collectors. this will quiet everything down so you can listen for any weird noises your expensive new engine might decide to make.
no real harm in running open headers on break in, but you might not hear that rod start to knock or those loose rocker arms clattering until it's too late.
1971 Nova(looks like 69 camaro from underneath!)
355sb, vortec heads, HOT cam,T-10 tranny, 3.70 gears 16X8" IROC wheels. 12" Corvette brakes on the way.
see pics here http://community.webshots.com/user/novaderrik
When we broke mine in (on the dyno) we had 6" flex hose hooked up to the collectors and then to outside the only restriction was the sensors in the tubes. This was in the industrial area of town so no noise complaints to deal with but we could hear the engine good inside and if there were any problems we would have heard them. - Barry