JRD84S
First off let me welcome you to the S-12 community, and express my condolences on the lack of aftermarket support. I have an 87 SE and have done a few things to mine which has paid off.
See my CarDomain page here:
http://www.cardomain.com/id/wingnut510
Have you signed up on Club S-12 yet? Tons of useful info there too.
http://club-s12.org
There is a friend of mine, Dave Carroll, who makes a set of headers for the VG intended for a Datsun 510 Swap, however they fit very nicely in the S-12 too. See my page for details and go to Dave's site at:
http://www.vg30.com
I don't know if there are differences between the z and the sx but i don't think they are that much if any.
also, you could take the turbo and accessories off of the z31t and put it in your car...
The stock Z exhaust will not work in an SX, due to the portion that wraps around the back of the motor, on top of the transmission bell housing. The Z transmission is also of a different length, but I have been told that you can use the FWD piece of the 2pc drive shaft from the Z and a modified transmission mount.
Good Luck, Wolf