Sounds like you need new exhaust gaskets. They are concave rings of metallic weave.
Studs do break, make sure the exposed thread is clean and apply some oil. You might also what to try and remove the nut/stud with the engine hot. The stud is 5/16 UNC where it goes in the head, but has a larger minor diameter to act as a thread lock. Although people have had the stud come out when trying to remove the nut, my experience is that the stud is more likely to shear.
Easy outs are a no no, they will break then you will be retracing your steps with a Dremel. I have drilled them out on a milling machine before to get the hole position and angle correct.
prefers spark erosion. You can also get a tool from Jims which has a drill guide. Yourguitarhero had one that was donated to UKBEG, I think babybadger has it, so it may be worth PMing him if you have problems. Only issue with this tool is being able to get enough load on the drill to cut effectively.When you put it all back together, use 5/16 UNF AS silver plated nuts, cheap off EBay, self locking and corrosion resistant.
while saving up for new headers.