Russ:
If you are using a four barrel carb there is no reason to not put the sensor anywhere other than in or just after the choke on the collector.
If it is a Weber style it would be great to have one in each cylinder just after the port for tuning and then monitor the system with one in the collector.
You could also use one in each port for initial turning on a four barrel as well and tune the carb to the lean cylinder. Might save a piston down the road.
A practical alternate would be to have EGT's in each port that you could run all of the time and monitor the engine. You could then monitor the whole enginer and control a closed loop system with the O2 sensor in the collector.
The logical solution is just an O2 bung in each collector. One for the ECU and one for monitoring and initial tuning.
Now the question about the slip joints on the headers is a very important point. It is also important to have thick header flanges at the ports to insure that they do not warp and allow oxygen in. Here is what I recommend.
1. If the collector to primary pipe intersection is done properly the primary pipe end should be square and seat into the collector right at the point of expansion of the pipe in the collector. This can actually provide a leak free joint if done properly. The double-slip joints as used on many turbo applications will also enhance this.
2. With the above done properly I recommend the "bung" style tabs in lieu of the overlapping type tabs. This allows you to actually pull the primary into the collector expansion seat. It also allows you to have two nuts on the treaded shaft between the lugs that allows you to expand the collector apart for dismounting. You can see these tabs at
www.burnsstainless.com/hardware/tabs-O2-rings/tabs-o2-rings.html.
I hope I typed all of that right. This arrangement will also keep the primary tube from trying to back out of the collector when the motor heats up much better than the sheet metal type lugs which flex. Point is use the tube type.
3. If the headers are going to use O2 sensors I always use the V-band type clamps between the collector and whatever the tail pipe might be. It is almost impossible to get a good seal on a large diameter tube slip joint.
4. If your existing collectors have the primary pipes far enough apart where they enter the collector I have had good luck doing this. Get some of the 1 or 2 inch wide header wrap material and wrap the primary tube right up next to where it enters the collector. Then take some very thin stainless sheet metal that is almost foil thickness and wrap this joint with at least a half diameter overlap. Use two quality hose clamps and secure in place and you have a sealed joint. This obviously doesn't look very trick but it will get you through tuning of the engine and then you can take it off.
If you don't do the above, forget using O2 sensors.