On my 01 there are no gaskets at any point in the exhaust assembly. You are advised to use some high temp silicone gel, though. See my recent exhaust question thread on what some people advised me to use.
On a 03 there are no exhaust gaskets. I put the 05 headers on my bike to get rid of the front tire rubbing against the headers. To get more space between the frame and the headers I used Honda CRF exhaust gaskets. They fit good.