There should be an o-ring on it already on the side that mounts to the block (side with locating pin). The o-ring is glued in place. The other side does not need an o-ring since the oil filter provides one. If you're cooler didn't come with the glued-in o-ring, bring it back.
I'm not sure if the o-ring itself is available through Ford service.
As for the hookups, you could also take a look at an Escape or Mazda Tribute with the 3.0L and the tow package. These use the exact same cooler as the SVT. Only the tow package has the cooler though. 1999-2002 Mazda MPVs with the 2.5L also use this cooler.
I am assumming that you are trying to add this to a Cougar by your screen name. One other option which may or may not help is that the Cougars in Europe were factory equipped with the oil cooler. Maybe you could get the lines from a source in Europe. Just a thought.
