I have heard coated headers can ruin new o2's when they first burn off all the crap. I have uncoated, black painted ones. Do I need to worrry about this?
Should I just drive around w/ no 02's for a bit to burn off all the paint?

 

That would be those that are coated on the inside. What you probably have
painted on is the "shipping paint", which is sprayed on at the manufacturer
to reduce rusting while in the warehouse and during shipping - most likely,
that paint will burn off. The paint on the outside will not affect the O2's.