Do you have to have the '04 headlights to do the front bumper swap, or can I keep my '01 headlights and put on the '04 front with no problems?

 

swap away my friend.. 04 parts retro-fit to the older MYs.. which means your headlights are the exact same size and shape as the new 04 and 05's.. the only difference is the layout of the interior of the light housing.. u might have to change or do some cutting to the plastic pieces under the front of the car as they won't line up perfectly with the new front end

 

Nope.