Most of the 22R/RE headers will have an O2 sensor flange already installed, since the 22REs need one. I run the LC Engineering header on my 22RE (fits a 22R as well):
- http://www.4crawler.com/4x4/CheapTricks/EngineMods/index.shtml#Exhaust

For the gauge senders, get the proper adapters/fittings.