Yes you will need them. Could take a couple of months or a day of driving with the new tune...or just hook up to a heavy trailer on a warm day and hit the hills..We have done 8 HG/Stud jobs on 6.0's in the past 11 weeks, and all but one of them has been an 03/04. The early trucks have the better egr cooler that is less likely to fail, but otherwise, there aren't any differences that will keep you from stretching your headbolts and lifting the head.
I generally end up doing oil cooler, screen, egr cooler, master gasket kit (HGs and all the other gaskets) with the ARPs, split and clean/inspect the turbo, check the y-pipes, etc and it runs around $5k out the door. I always recommend doing the oil cooler and screen, but the early EGRs are usually ok, so that can save $5-600. We're also in crazy Cali, so tax and labor are expensive thanks to the State's abuse of small business...