Is the pieces bolted together or welded? i know most kits come in pieces so i'm guessing it is just bolted together with clamps.
I have the same issue with my custom exhaust and i know it is the clamps aren't tight enough. i don't have access to an impact gun (3/8" so i don't overtighten) to get the pipes sealed up. I might just get a muffler shop to weld the pipe together in some places so that i don't have to worry.

 

having the pieces welded together isnt that good because when you take it apart, it will be one whole long piece
im going to see if i can tighten it up more, or maybe one of the gaskets are out of position.