Yes, there is an exhaust gasket between the header and the cylinder. It crushes when you put a new pipe on, and should be changed everytime you remove and install the header (Some opinions vary on this)
If I were you, I'd go grab new exhaust gaskets for a few bucks at your local HD and change them. It easy, cheap, and won't hurt anything as well as being the most likely cause. If it still smokes after the change, then pursue further.
2006 Vivid Black Road King Custom (FLHRSI)