Im replacing my exhaust system. I was going to replace all my gaskets. Does anyone know what gasket for the exhaust manifold to the exhaust? Ive been having exhaust leak problems.

 

Needswings has the entire kit here: Header hardware kit

 

From what I'm finding looks like there isn't one. From the exhaust manifold to the pipe.

 

Sorry, I misread your original post.
I would think there would be some sort of gasket, maybe a "donut" type between the manifold and the exhaust pipe.
Maybe go to a local Mercedes dealer and ask them to check it out. You'll need a VIN from a 2001 - 2003 SLK 320. Just find one for sale online and use that.
You could also download the service manual for your car in the TBS & How to section.