After installing the Milltek header and exhaust, I want to make sure that there's no leak in the exhaust system. Is there a way to check for exhaust leak?

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Here are a couple things to try.

 

You mean at the head, or at the cat? Both?
Exhaust leaks are usually accompanied by a sound.
Alternatively, they tend to leave carbon (black) stains whereever it's leaking.
Easiest check is to start up the car cold and move your hand around all the mating surfaces (easier at the cat than the head!!)
After it's got a few hours on it, just do a visual and you should be fine. Most exhaust leaks are caused by crimped gaskets (unless its a sleeve fit), and in my experience they're quickly found.

 

I tend to re-torque everything after a test drive while the exhaust is somewhat hot
just to be sure.