Your example is true if all you're doing is printing headers, and if you're on a dedicated server, and if you're not running a database server. The way I'm arranging this site, there will be one script that will probably be run at least 100 times more than any other. I'd rather be cautious and not get kicked off my host for using too many resources.
Since know one seems to know of any situation where hand-crafted headers might be a problem, I'll just do that and I can switch to CGI later if I need to. The more complicated and less popular scripts can still use CGI.