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In regards to aftermarket headers, you can just put the front O2 sensors in, have the exhaust shop weld in a pair of high flow cats (your car remains street legal this way), and weld in 2 new o2 sensor bungs behind the cats. O2 sensors can be extended with a wiring kit, or cutting and extending yourself with some wires from Radio Shack (don't forget to shrink wrap it to keep out the moisture).
Don't nix the cats. The gain without them is probably 2-3hp, your exhaust is going to reek of gasoline and its just a big ticket waiting to happen. Highflow cats from Catco are fairly affordable at around $150 each. They are quality cats and I've had no problems passing emissions tests on my Jetta with this cat. Most importantly, you won't get a check engine light as a result of the rear o2 sensors.
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