This was a huge help for me. Previously I had a Racing Beat extension that managed to fall onto the manifold, burning the connector. The ~12" extension worked well with a Denso sensor (Oxygen sensor Mazda MX-5 mk1 1993-98 4 wire Denso BPE818861A) and a MX5parts 1.8 4-2-1 header. I suspect most after market headers will have the O2 sensor fitting in roughly the same spot.
The Denso sensor comes with the little clip, but there is no easy way it seems to remove it. If you are fitting a new sensor at the same time as fitting a header, you could just butcher the old sensor for the clip.