Yeah, the water-cooled coupler can be a real pain sometimes. I've had some that just never seemed to stop leaking until I changed headers. The aluminum headers can become distorted in shape really easy if heated up a bit too much and some point. The first thing to try is a good quality stainless steel header if you don't already have one on there. I would recommend the CC Racing headers as the quality is high and the tolerances are tight from one to another. I've seen headers from some other manufacturers vary so much that they definitely caused problems.
Other info:
Typically on the aluminum header setups, the silicone O'rings are better to use in the pipe coupler as they are softer and won't damage the aluminum header as much when it gets hot. Use Vitons in the flange (connecting header to engine).
If using a SS header, I use the Viton Orings in the pipe coupler and flange.
If the leak is happening with engine NOT running, try moving the pipe around on the header to see if you can stop it...this would indicate a bad or deformed header.
If the leak happens only when the engine is running, check the pipe mounting...that's your culprit.
You should normally check for leaks but creating a vacuum in the system (sucking rather than blowing into the lines). It should hold a good vacuum seal.
*last resort...if all else fails, weld the alum pipe to the alum header and forget about the water cooling.
If looking to get another pipe system altogether, of all the pipes I have tested, the most trouble free (and with least exhaust leakage) have been the CC steel pipe, CC Powermaster aluminum pipe, the Insane Dominator pipe, and the NeedforSpeed pipes (although there flange isn't the best...I prefer the no-leak flanges that the previously stated 3 pipes setups use). The QD Hotpipes are good pipes also, but they can be pretty messy until you get everything tuned properly. If you get a QD, I would strongly recommend the one from Redline Motors. There are a few pipes now being offered by Gizmomotors also, but I haven't tested any of those so can't really comment yet.