just pick up 2 boxes of sprak plug foulers that have the same thread as your o2 sensor...you need 2 foulers (1 box) for each side. Take one fouler and drill 1/2in...that's so the whole is 1/2 all the way through (you are drilling through the very small hole)...then screw them together...screw your o2 in one side and then screw it back in the o2 bung.

here is a link w/ a pic of ebay...it's would help you know what they are.
http://cgi.ebay.com/ebaymotors/02-05-WRX-UPPIPE-DOWNPIPE-EXHAUST-CEL-FIX-PACKAGE_W0QQcmdZViewItemQQcategoryZ34203QQitemZ4569330877QQrdZ1

That is what it'll look like screwed together.
The cost per box is like 1.50 or so.

98 E0 SVT with some stuff