I have the RB off-road header(2 separate pipes) and was wondering where should the o2 sensor be mounted. I was thinking of having it mounted in a pipe that has two pipes going into one right at the end of the header or would killing the header and tapping into it be ok (don't want to do)

 

You can't drill and tap the header. Hot enough material. Or any part of the pipe for that matter. You'll need to buy a bung and have it welded in. Bungs go for about $10 and an exhaust shop should charge you about that to weld it in. Summit has them...probably about the cheapest place to get them.