If the headers don't have an O2 sensor bung already, the factory sensor monitors the left cylinder bank (odd numbered cylinders) and needs to be as close to the cylinder head as possible, exposed to exhaust flow as it exits the cylinders, to maximize heat and minimize registration delay. Mounting in the header's collector is an appropriate location. Mount the sensor so that it hangs down into the collector from above to prevent any possibility for water condensate to contaminate the sensor. Liquid water destroys O2 sensors.