Here's the link to the FAQ in case you can't find it:
Not a bad idea to get all the stuff from one manufacturer if you can / if you like everything they manufacturer. I believe that most would suggest getting the exhaust and FC and installing them at one time. If I'm not mistaken the mayhems are a single walled pipe <no heat shield> and I believe that all single walled pipes are going to blue regardless, I'm sure someone will correct me if I'm wrong, so don't be surprised when they blue within the first 6-12 inches of where the pipe comes out from the engine. The FC should come programmed for the exhaust already but when you add the air intake you'll have to reprogram it, which Fuggin should help you do, they probably already know the settings for that combination so just ask them. Be aware that a lot of people have burned there leg on the pipes, can't access the engine panel on that side also.
As far as the Cobra Swepts others have said that it's a pain in the you know what to get the baffles out and I believe it does result in some popping/sucking air sound on decel, you can remedy that by modifying your baffle, modifying the pair valve or just leaving the baffles in depending on how loud you want the exhaust. Like Lester said a lot of this is covered in the FAQ so read that and if you have other questions feel free to ask.