Does anyone know what to do with the oxygen sensor that bolts into the exhast manifold when installing a header? What do you do with it after because I am assuming that a header doesn't have a spot to put an oxygen sensor???

Most street legal headers will have a hole for the sensor. If not and you continue to use the carb and computer originally you must have an O2 sensor for the mixture control to work. You can drill a hole and then weld on a pipe fitting to match the thread on the sensor.