The FFR ones do not. There is some debate about location I put mine on the underside of an easily accessible primary tube. Some feel the bung is best to be welded into the collector area of the side pipe in order to sample all 4 cylinders on that side. I've had no problems with sampling only one cylinder per side.
To attach the bung you just drill a hole on the underside of the primary tube and weld it into place. It will disrupt some of the ceramic coating but barely noticable.
I bought the FFR 4 into 4 headers. They did not have the O2 sensor holes in them but found a shop in Rancho Cordova CA. that can do it. Ken Hill owns it and he does a lot of exhaust work for many of the NASCAR teams. The cost is about $60.00, I will be taking my exhaust to him in the next week or so to have the mod done.
Pretty much any decent exhaust shop can do this job for you. Just drill a hole where you want them, and take them to the shop. Most shops have the bungs, too. I placed mine in the #2 and #6 primary pipes, about 3" up from the square flange.
I had mine placed at the bottom of the tube, where it wouldn't show. However, it was later suggested to me that it should not be placed in the very bottom of the pipe. Any condensation, oil, fuel, whatever, that runs down the pipe could contaminate and destroy the sensor. Oh, well. Live and learn.
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