Tony,
The O2 sensor screws into a bung that is welded to the header assembly just in front of the cat converter. The Borla headers replace everything from the heads to the converter flange. You can install them yourself, do a search on this site there are a few posts about the installation. Drilling would be needed only if one of the existing fasteners is stuck or broken. Get some 6 point sockets and open end wrenches, and tons of penetrating oil. If you've got air even better. Go to it. Take your time. Get some need new converter flange bolts/gasket- I think thats it- Borla kit is complete with all of the other hardware. Working slow should take a day. If your good with a wrench then maybe two-three hours.
Hope this helps
Steve VB