Permatex high temp Copper silicone sealant. That's all I use on my headers. I tear my engine down every two years (sometimes more often). and that seal always looks good, with no hint of a failure.
I also make sure to get some on the threads of the bolts. They never come loose. Never.
The local speed shop I use is owned by a guy who's been drag racing for decades. He uses clear silicone bathtub caulking. He likes it because it works, and can't be seen. I tried it, and it worked just fine. I took the headers off after a while for another reason, and I didn't like the way it looked. I had some doubts about it lasting a long time. I went back to the red stuff.