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You might want to check the LSX swap thread sticky at the top of the page for some exhaust ideas. Some people have used Hooker sidemounts but they do require modification of the headers. Not an insurmountable task and probably less expensive than having custom headers fabricated. One of the guys (maybe SpeedHound?) has a header set available that you could probably connect to a custom sidepipe. I don't think you wil find a commercially available solution because there isn't enoough demand to attract the big vendors.
I doubt there would be a set of headers off the shelf which would perfectly fit for your intended application.... LS3 in a C3 with original side pipes.
You'll have to bite the bullet and get a set of custom pipes bent... or possibly modify, as mentioned, a set of LS3 headers.
But do it after you have installed everything else. (steeroids A/C etc)
You don't want to find any issues with clearances later.
I assume you are running FI with an ECU.
O2 sensor is used to provide closed loop feedback for proper fuel mixture control with ECU.
O2 sensor only requires a threaded bung welded in the collectors. Easy to do. Once again, need to ensure bung is placed in position which doesn't place O2 sensor (when screwed in) in harms way, or fouls on body or chassis rails etc.