Once I was happy with three or four sections of tube, I tack-welded them together and moved on. The process of getting all the pieces of tube in their correct positions--marking, cutting (with a 14-inch chop saw), squaring the cuts, fitting, tacking, testing, and so on--took the better part of four weeks of evenings and weekends. At the end of this stage, I had the four tubes all tack-welded together but not attached to the flange or collector.
Prototype
After working out the approximate routing of all four tubes with welding rod, it was time to start cutting U-bends. The accompanying photo shows the routing with actual tubes following the designed path. I clamped the pieces together with hose clamps, which allowed me to simulate welding the various pieces together, allowed rotation of the pieces with respect to each other, and more importantly allowed me to index the pieces for welding. I used a fine-tip permanent felt-tip marker and made index lines through the clamp. The clamps worked OK but weren't strong enough to really hold the whole tube in place at once. Another problem is that they didn't clamp well on curved sections of tube.
Final Assembly
After prototyping, it was time to fully weld all the tubes (35 welds in all, done over three days). Once that was done, I pressure tested each tube at 40 psi. My testing jig consisted of plumbing stuff bought at Home Depot: a plug for the end, some rubber and PVC pipe, and adapters to convert to pipe thread. Then I connected it to a compressed-air line. Though I did try for more pressure, I found if I went over 40 psi, the rubber connector would blow off the tube (scaring some of the neighbors).
Collectors
Once I had all four tubes fully welded and tested, it was time to locate the collector for real. I started with the first tube, and again using a hose clamp, indexed the tube with the collector where I wanted it and then tacked it in place. Then I took the third tube (since it was the other upper tube in the collector) and tacked it onto the flange and to the first tube where they join at the collector.
Once I was sure these two tubes were in the proper location, I welded them to the flange so I'd have the most possible room to manipulate the TIG torch. Next, I welded the second tube to the flange and to the third tube at the collector (remember: the third tube is directly above it in the collector). I used a carpenter's square to verify that the tubes were square where they go into the collector. Finally, I welded the fourth tube to the flange and tacked it to the other tubes.
I welded the four tubes together from the outside (about an inch or so) and did a final cut of all the tubes together. I then squared the inside parts of the tube as much as possible to minimize turbulence as the exhaust gases mix together in the collector as recommended by Ed. I did this using a torch and vice grips to gradually work the tubes together. Then I welded the ends together along with a small square piece of steel to fill in the last little gap (I was worried I would rip the steel if I stretched it any further). | 
The final step was to fit the collector over the ends of the tubes and weld it solidly in place. I tacked it and did a final check before welding (you don't want to end up with the collector pointing in some weird direction). |