You might want to try Dead Link Removed to see if they might have headers. Also, check out the "Explorer Resources" button on this site; one of them might have some headers. The 4.0L engine should be pretty much the same as on the older ones, but they may have changed some things such as O2 sensor locations or whatever. Also, with the newer front suspensions from 95 on, headers from the older 4.0 may not fit the engine bay.
As far as the Auburn that Brett mentioned, I have one on mine and I am very happy with it. I still haven't used it in the dirt, but it has worked very well in the snow and on wet roads. In my opinion, it's only a notch below a locker for traction, but doesn't exhibit any negative side effects that I can see. If you do the vast majority of your driving on the road, the Auburn is a good choice. If you do a lot of off-road driving, you may be interested in a locker. Hopefully, someone here can give you advice on those.
BTW, I got my Auburn from Southwest Ford in Texas over the internet, though there are many who sell it. I believe that it is a Ford Motorsports part, even though it is made by Auburn Gear Company. I don't know that dealer's web address off hand, but you should be able to find it in a search. It was installed by a highly recommended local shop here in Ohio.
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Tom
