You probably have a leak. What gaskets did you use, how did you tighten them down? I'm assuming you used all new gaskets too, at least I'd hope so. Header bolts or nuts love to come loose after a few heat cycles btw, this is why I always use stage 8 bolts with Percy's aluminum header gaskets. Not sure if they make a set for the 4.0...
2000 Mustang GT Steeda build #48. Bolt ons, suspension, Novi 2000.
Just because I give you advice, doesn't mean I know more than you. Its just means I've done more stupid ****.