I have a new YS 63. Should I assemble the exhaust pipe-to-head and exhaust pipe-to-muffler dry or do you recommend I put something on the threads before assembly? I tried a search and got nothing.

Make sure everything is clean and use some Loctite 242. It's heat range is too low, but it will turn into a kind of thick goo which helps. Some guys like teflon plumbers tape as well.