I haven't done this myself, but I'd assume an aftermarket high-flow unit would be your cheapest bet. Likely it'd work better too, given that you can specify the entire system. I'm pretty sure that Walker and other exhaust manufacturers produce these parts, at least in the U.S. OEM style is expensive, about $350 or so for the front half (downpipe, cat, resonator) last time I checked.
I can tell you that the oxy sensor four-pin does mount on the bottom of the battery tray. It is a universal Bosch part produced in many different lengths. I'm pretty sure I'm using an E34 pre-cat sensor myself. Be sure to disconnect the CO pot adjuster at the firewall before enabling the O2 sensor. It's a single-wire connection near the relay block IIRC. You may also need the sensor heater circuit relay, perhaps an NA market DME, & etc.
You could probably get away without an O2 sensor if you're running a cat; alternatively you could also install a wide-band sensor with an emulated narrow-band signal if your DME supports it.