I had the same problem.
What it looks like is that the clamping flange is bent, and the flared end of your downpipe is deformed.
If you can take the downpipe off, and you can get the clamping flange off, you can straighten it out
along with straightening up the flared end of the pipe.
I just recently had a crack in my downpipe, and I took it off to weld up the crack.
I noticed my clamping flange was bent like yours due to the fact that I thought
making it tighter would help, which is actually not what you have to do as both
Mike and semikrazy have said. Also, the flared end of my downpipe was deformed too.
I took them off, used a BFH and a vise to get them flat again, and re-installed them, only this
time I put an even amount of torque to both bolts. And it stopped leaking.
Also, Jeepmaster, its not an old doughnut on there. Alot of later year CJ's incorporated a metal
type of doughnut on the end of the exhaust manifold to eliminate the regular doughnut
they needed to help seal up the exhaust.
I guess it was a cost savings thing, as they were able to eliminate one part, and one step in
the production line when the exhausts were installed.