Yes you need the header panel, grille, lights and bumper but it all bolts right up. I believe the only modification needed is the plugs for the lights when switching to the 05+ style lights.
2002 F250 ccsb Lariat 4x4
Stage 1's by Full Force Diesel
Honey badger Jr hpop and Brute 66
Bellowed up-pipes and blank pedestal
No Limit Tuning by Jonathan (Dyno Proven)
Rough country level and shocks
305/70r16 Toyo AT2 on Dc2
Autometer factory match (pyro,boost,trans)
I saw Early Super Duty Trucks with the later 2005-2007 Lights, Grills, Bumpers installed on them. Looks really nice I think. I think those trucks look great with the 18 inch polished Aluminum Wheels. Also think the interior, instrument panel/cluster and dash look the best.