IIRCuse the gray one (not the white or black). the on up stream and closest to you engine. And get a tune with your header I would highly recomend it to take care of your CEL, like honhon said I got a tune from Tom and It was great look at the Dyno sheets for the dura's that wil show you every thing you need to know.
^^^^^^^This won't work for the OBX you need three bung ports for the CEL delete mod to work, so if you'd want to do it that, way with the CEL delete mod, then you'd have to go with the F2 header and the other headers wouldn't work they only have 1-2 bungs. Do what I did and just get an OBX and a tune from Tom or from FS. do it right the first time thats what I say.