It's not too bad, but it is messy! Powerstrokeshop.com sells a kit with all the parts to do it, but here's the list:
Oil Cooler Housing Gasket (front)
(Ford) F7TZ-6A636-AAA
(International) 1831666C1
Oil Cooler Header Gasket (rear; oil filter end)
(Ford) F4TZ-6A636-AA (97-up)
(Ford) F4TZ-6A636-B (96-before)
(International) 1831665C1
Oil Cooler O-Rings (one each to seal cooler at each header)
(Ford) E3TZ-6C610-A
(Ford) E4TZ-6K649-E
(International) 1807563C1, Inner 1804414C1 Outer
Cheers!