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Absolutely on the tune after headers. Tuning alone is worth it, but after headers a tune will give the proper perimeters for the engine to use what is really available.
The quick and easy answer, most CAI and CAT back installs will require no tune, the engine controls can learn and will adjust for the increased air flow as a rule. If your not throwing codes after the install no tune is necessary. Having said that there are benefits to getting a tune, especially if you have an A4 or A6 there are parameters that can be changed to improve fuel air ratios, shift points, fan turn on, shift stiffness. There may or maybe not some sort of TM on the Auto's that some tuners claim that they can effective reduce. All I can tell you is at an ICS Dyno day last year completely stock A4 C6's were pulling 330-336 HP my 05 with Halltech CAI, GLH CAT back exhaust and a tune by Chuck of Corvettes of Westchester I was pulling a top 0f 344HP and 344 FT lbs torque. The main difference from my chart to the stock charts I compared it to was the power and torque came on at much lower RPM. You make the call, for me the cost was worth it, the car now can break the tires loose from a 35 MPH roll shift into second and break loose again and sometime break loose in third, it wasn't able to do that before.
Recommend 106F Thermostat, CAI, LT's with high flow cats, Xpipe, Cat backs and get a tune and have them all done once. You will see a significant difference in the car stock to what just was listed above and if you have an A4/A6 there will be some tune mods done there that help. I'm very pleased with my setup like that and never a code or issue in over a year now with 20K and going miles.