I'll be getting the Header kit from Mazdatrix(Here). I've been searching on headers to get an idea of how to approach this project, but I'm lost.

What I have been wondering is how long should the primaries be to get decent mid-range and top range power?

I planned that the header would go into a single exhaust system(2.5"); how do you prefer the two pipes be connected?

Where should the O2 sensor bung be welded?

The engine is stock 13b S4 6 port with some miles.

I'll list some places where I got some of my info from:
Best Exhaust
Header Size
RB Header Page

A thank you ahead of time.

 

Any advice? Maybe in welding or something? How will MIG do?

 

What do you think?

 

I like real long primary headers on mine, the end of the collector around where the fill plug is on the trans *of a stick shift*. I also like a long shallow collector, i aim for 12º. After the collector have it go right into a shallow megaphone, lets say between 3º and 16.75" long *2.25" inlet, 3.125" out* to 5º and about 11.5" long *2.25" in, 3.25" out* with a reverse cone about 3.5" long at the end to bring the pipe size back to 2.5".
Most places use mig for exhaust but tig is way better as it tends to have less slag inside the tubing.