I'd personally skip the oil cooler, but it wouldn't be a bad item to have if you are set on getting one. I've run several track events in really high heat and haven't had any issues burning up the oil. I do change it more frequently though and run a good synthetic.
Leave your O2 sensor right where it is. There is no reason to remove it or mess with it. If you leave it unplugged or disconnect it, it will mess up your closed loop tuning.
Like iNewton mentioned, just have a shop weld a bung in for the AEM wideband sensor 6-10 inches after the hot side of the turbo.
