I recently bought a set of headers on ebay for $200 for my 01 Gt but there's no where to connect the EGR tube onto the headers. Can I just cap it off and if I do will my check engine light come on or will the car even run right, any info would be extremely helpful.

It will more than likely throw a check engine light with a code related to the EGR system. It may appear to be running ok with this code in the system but it'll actually be running the car in open loop mode and you'll see decreased fuel efficiency, loss of power, and it's just not healthy to run your vehicle in open loop mode like that any longer than you have it. It's pretty much a limp mode to get it somewhere to get it fixed in the event of a severe problem with it. It will base the amount of fuel to add to the engine by pre-set conditions in the ECU and it won't use any input from the MAF or O2 sensors to change that amount... It'll work for now but I would definitely get it corrected soon after doing it. Or you could wait to put it on until you can connect it correctly. You could have somebody weld a flange on it for you so you can connect the EGR tube. Good luck with it.