Well, first of all - the biggest problem people have with exhaust studs is not trying to figure out how to install them, but rather figuring out what to do after twisting a couple of them off during removal. So whether the nut comes off the stud, or the stud comes out of the head - your life is perfect. Be happy!
Use new copper nuts each time you replace the manifold. If the stud comes out, I usually replace that, too. But just screw the stud in by hand till it bottoms - most have a ridge and will only go in so far. They get snugged up a bit as the copper nut goes on.
The tools (stud extractors) shown in donjuan1jr's pics are for removing stuck studs, not installing them. When working perfectly, they cam themselves onto the threads (maybe even without buggering them up if you're lucky) and allow you to remove the stud without double nutting it. Handy if you want to remove expensive reusable head studs (like ARP). The ones I have only grab in one direction - CCW for lefty loosey.