Before you install them wipe them down with alcohol. Before ya start the motor, wipe them down with alcohol to remove grease and fingerprints as they can burn into the finish Once cleaned, start the engine. Run for about 5 minutes. Shut it off and let cool. Repeat for 10 minutes and let cool. This should cure the finish and help it last longer. Got this info from the company that coats them. Torque the bolts after the second cool down
I remember reading something like that, I thought it came with the headers? but thats what I did, I made sure they were clean before I started the engine.
Something else that may or may not be of issue to you... Jet Hot says that you should never break in an engine with coated headers installed. They suggest you break in the engine first, then install the coated headers. So... No coated headers on a new engine.
First start-up with a new engine really puts out a hot exhaust. If you are also breaking in a cam the idle has to be up and there is no air flow over the headers and they will burn at the bends.