Trey -- EVERY weld warps and moves the metal around. Period. Manufacturers weld their stuff in jigs that hold the tubes.
I would - as you said - weld everything you can while they're still in the flange... and when you cut them out - I'd expect them to have "tension". But that should be okay because you should have room to re-install them one by one as they're not yet welded with the "star" at the ends. Tacking them up the way you've done will also help you hold position.
The most critical piece of the puzzle is welding the tubes to the flange... that flange can't be warped!
By the way -- check your header bolt clearances!! You may want to or have to dimple the tube at the flange to get the bolt to clear or to be able to actually get a wrench on the bolt head... don't forget about the washer (larger diameter sometimes than the bolt).
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