I haven't replied to this before as I don't actually have an answer. However, your car doesn't sound altogether different from mine which has the standard log headers and then a full aftermarket exhaust from header back. Mine has a full dual system with no cats, but did have the air system welded back in (despite there being no cats to heat up, which is now removed) and the sensors welded back in.
To be honest (I may be wrong) I thought the O2 sensor went into the standard header on the drivers side. I certainly have a sensor here, and when I've looked at aftermarket headers some say they have the mount for the sensor (which I'm assuming is the O2). However I also have a sensor half way along the exhaust (roughly underneath the storage in the centre console), I think this may also an O2 but is the 'after' sensor while the header one is the 'before' sensor?
With this setup my car smells rich when I first fire it up / it's cold. However the smell goes once warm and the MPG isn't that bad (actually got 26 on a long run, but recently with all the short journeys and work I've been doing it was 15.6). It was much worse, but I had bad injectors and it was only running on six so I don't think that's your problem thankfully
I do have the factory service manual (for a 1991 model) which has some diagnosis steps in. I can have a look tonight and let you know if that helps?
Sorry I can't give you any proper answers, but thought my setup 'may' help you diagnose it.