Will adding a header to my 02 sc2 dohc set off the check engine light and ruin my gas mileage?

if it is a quality header it will not, it may even increace gas mileage a hair(not including the lead foot factor which tends to increase after installing a header)

I have only found two headers for the car. One is the Hotshot header and the other is the OBX that everyone has. I was going to buy the OBX is that a good quality one?

OBX in the past was known for weak welds, i don't know if that problem was resolved. if you can contact the compunys, ask if they know the flange thickness. a thicker flange commonly relates to a quality header. also do some research on saturnfans.com, saturnspot.com, and turbosaturns.net.