I imagine that the compnay would've sent you new gaskets with the header... If not go to your local dealer and just order.
As for the o2 sensor, just invest in an o2 sensor wrench, trust me its worth it if you plan on continually modifying your exhaust components.
The wiring makes it impossible to get a socket wrench in there, and using a crescent wrench to take it out, is a total pain in the ass.
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Cornering Junkie 
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