you can do it any time, it just resets the ecu. You can disconnect the battery and hold the brake for about 10 seconds. Then re-connect and ur re-set. I would also let the car idle for like 5 min.
if you didnt do it when you installed the header, dont worry, just drive the car around. the ecu will "learn" to handle the header eventually, you just might not notice it as quickly as if you disconnected the battery.