U definate need a donut gasket, or else it will leak.... if ur still using a OEM cat... aftermarket cats dont need a donut, a conventional gasket will do...... and using gasket for all exhaust joins with nut and bolt are a must... using a gasket sealing only prevents small leaks... if its like a opening gap where u can shine a torch into it and see in it, u need to realign ur exhaust so it sits flush... my brothers S15 has a massive problem with the exhaust not sitting properly, its a greddy PEii but, basically, the muffler to the mid section is out of align, and he needs to realign it, cause it still leaks to this day even with silicon and a gasket slightly

OR it could be that one of ur gaskets is just sitting loosely... i know its a bitch of a problem, i had similar problem, the donut gasket wasnt sitting properly... but pull the whole system off again, and reinspect it, than reinstall...