[DonC]

Matt:
Locating the O2 sensor can be a problem for an EFI system in the Cobra.
You need to know if the sensor is a "wide band" or "narrow band" type. The most common type is narrow band although some of the newer systems use the wide band. The primary difference between the two is that a narrow band sensor needs to be located as close as possible to the exhaust ports to keep it hot enough to read accurately. They have internal heaters but they aren't strong enough to heat the sensor if it's too far away from the exhaust port.
Wide band sensors have better heaters and can be mounted farther away from the exhaust ports.
Keep in mind that the O2 sensor is just about the only way for the system to know what's going on with the fuel/air mix and it needs that information to run.
Mounting any O2 sensor below the horizontal will allow the tip to get contaminated by the exhaust stream and isn't recommended. Your idea about replacing the sensor every thousand miles is not a bad one but a bit impractical since there isn't any way to tell if the sensor has become contaminated other than the system won't run properly. It could become problematic within a few hundred miles or could go a thousand.
You may end up with a compromise as to how and where to mount the O2. If it were me I'd get a hold of the manufacturer of whatever system looks good to you and get their recommendation on where and how to mount the O2.
DonC