New Exhaust System?

Hi Everyone,
I just installed a new exhaust system in my 93 metro convertible. Nothing fancy just stock. I replaced everything from the exhaust manifold back. When I was test driving the car I noticed a burning smell and when I stopped there was a little smoke coming from the area where the manifold meets the cat. Could it just be the new gasket breaking and all the new parts breaking in? Any replies would be greatly appreciated.
Thank you

the pipes usually have a oily or plastic type coating on them so they don't rust while they sit at the store, the parts stickers with the numbers are also plastic so you will usually smell a oily or plastic smell till it burns off