put some grease on the gaskets before you put them on. It will help them stick in there, plus seal the deal. That's probably why the old one's blended in and were stuck in there anyways, old grease.
Oh, and the burning smell was probably from whatever was on the new headers - dirt, gunk, finger oil, paint, etc. Mine did the same thing right after I got them ceramic coated until I took them for a nice slow ride (get hotter that way). Burned off all the smell in 5 minutes and now don't smell a thing. Just smashed bugs in the visor.
2009 Aprilia Tuono - Ginger
2001 XR650R BRP (Big Red Pig)
2006 Honda 599 - Ex wrecked it :-D
2007 Honda CB900F (sold)
2006 Honda VTX 1300C (sold)