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Are they LG Pro's? You need a connection for the rear O2 sensors so they can be installed in the front. This will actually give you a lot of extra so you will need to coil and tie them off so they don't contact the exhaust. The gaskets for the cat back connection can be bought from GM. Either a dealer or one of the forum vendors. I have a set I am going to install in the spring and am gathering the necessary pieces as well. I am going to install plugs in the rear O2 sensor locations as the rear O2's are currently tuned out in my current header setup.
I used the existing O2 harnesses on my install and they worked fine. I just pulled the harness / attachment clips that held the harness in place away from the tunnel area and made sure the harness wasn't contacting anything. I also left my rear O2's in and never had an issue. (I did eventually have ECS tune them out, but I drove the car for three months with no codes)...
We recently installed LG streets with hi-flow cats on an '04.
The stock rear sensor wires were just long enough to route and connect to the original harness with no extensions. The fronts required extensions, which are about a foot long - four of these came with the headers, we used two. We left all the sensors in their original location, and hooked them up, but later had the rears turned off when we had the car tuned.
I recently installed a set of LG Pros on my 2002 Z06. The instructions that come with the headers tell you to install the headers from the bottom, but I installed mine from the top. The passenger side went in very easily, no issues. For the driver side I had to remove the alternator, valve cover, unbolt the steering shaft, pull the power brake booster line and yank the oil filter... it then took a bit of wiggling to get it in which would be much easier if you had a helper below the car to give you a hand.