Well, that picture shows an Allante gasket kit, with the exhaust gaskets and the valve cover gromets
Either way, when I got my Fel-Pro kits before, they usually included the aforementioned exhaust and gromet gaskets. I would call the local auto parts store and see what they have to offer, because I also got the
complete set for $115 the last time I got one...This included the gromets and all.
As for the heads being warped, it is unlikely that they are, but an easier (read cheaper) way is to take a solid straight edge and a feeler gauge and measure several angles from one side of the head deck to the next. Any value of ~0.006 of an inch or over in variation of the deck means that the heads should be taken in and decked a little bit until corrected to tolerance. If you really want to be safe, then you can take the heads in and have them decked to a little higher of a compression ratio (more performance) and have the valves redone and the heads cleaned up. Otherwise, if the heads check out and they didn't exibit any issues before, then I'm sure they're fine. Also, if there is carbon buildup, then I would suggest that you take them and have the cleaned of the carbon.
As for the exhaust leak, there could either be a hairline crack in the manifold, or a flange is done in. If I recall correctly, the factory never put exhaust manifold gaskets on the heads, so there is a good chance that the manifold is cracked somewhere. When you get the gasket set, I would make sure you find the exhaust manifold gaskets too.
As for the actual procedure of changing the head gaskets, make sure that you follow the FSM procedures
to the letter! If you apply the wrong torque, especially to the intake manifold, then you're asking for a load of costly trouble. You
do not need to change the head bolts if they all check out alright (use a straight edge), but remember to use some assembly lube or a light coat of oil on the bolts (not the threads in the block!!) and remember to clean up the threads in the block as well as the bolts.
Anything else?