The following is taken straight from the unabombers manifesto. I still think you should get a tune just to be safe first.
What is the CEL fix? It stops the rear CEL code P0420 Catalyst System Efficiency Below Threshold from appearing, this code being caused by the lack of a catalytic converter in the exhaust. This is usually fixed with a Pony Express MIL Eliminator (no longer in business), Casper Electronics fix, or Perrin Performance fix. The 05+ does not currently have an electrical fix. Another fix is the mechanical fix, which works on all models. ***NOTE*** There are two CEL fixes for the WRX, the other one is the 2.2 KOhm 1/2 watt resistor. It is used to combat the CEL code P0546 = Exhaust Gas Temperature Sensor Circuit Malfunction (High Input) in the uppipe. This notice, though not important to this thread, acknowledges there are two "CEL fixes" and defines them individually to avoid possible confusion.
Many aftermarket engine management systems can also be used to prevent the CEL light from showing up.
Which is the best CEL fix, mechanical or electrical? Both work fine, though personnel living in states with OBDII testing prefer the mechanical fix. The reason for this is during state mandated OBDII testing, the electrical fix can show up as a malfunctioning sensor. For some states, this one malfunctioning sensor is fine, for others, you will have to fix it and return. In the end, the mechanical fix is cheaper and easier for most users.
Can I drive around with a P0420? Yes. This is not a code that will throw your car into limp mode, so you can drive normally with it until you get a CEL fix. It's never wise to do so though as a CEL is easily seen by police who may then do a "safety inspection" as well as cause issues during any local emissions testing.
Do I need engine management with a downpipe? For 02/03 WRX and 04-06 STI users, no. For 04+ WRX and 07+ STI users, it's pretty much a requirement as the open loop/closed loop fueling issue mandated by the EPA causes long term reliability problems with using a downpipe and no tuning. For STI users, the STI was the one exception manufacturers are allowed to have, but it's a wise move regardless as the STI and 06+ WRX users have a good chance of boost creep occuring with downpipe use. Tuning can ease this issue, but the cause/effect/cure of boost creep can be researched via this link
06' wrx tr