I've not quite done them like 'Pete', but he is just a tad longer in experience than I!
Flanges: You should buy a set of pre-made flanges - if you can find them in 3/8" material, all the better. Here is a link to a set that one of my team-mates makes:
http://www.ebay.com/itm/FORD-FLATHE...EEL-/200821928855?vxp=mtr&hash=item2ec1eb7397
Welding Clamps: I've made my own crude ones before - using stainless hose-clamps that I cut up (works well on straight pipe, not so well on curves). Here is something that will save you a TON of time - the idea alone is worth checking out:
http://www.trick-tools.com/Icengineworks-Exhaust-Header-Tack-Welding-Clamps-866
In the end, it is ALL about your design and associated fitment. You can buy u-bends, j-bends, etc - from a lot of folks, it comes down to how you use them, how well your fitment is before you weld, etc.. Try to spend the money on the thicker bends - 16 gauge instead of 18.
If you want a traditional setup (like Belond headers), then they are not super difficult to make. If you really want a good header (3 into a collector) and equal length, then you're in for some real work (especially if you haven't done it before).
Two Biggest Ingredients: Like anything else, will take you three times as long as you think and at least twice as much money. You'll probably NOT save much on making a single pair . . . just sayin. But, you'll sure learn alot!
Good luck!