Dear beefstew,

Hope you're well. The Oxygen sensor screws into a port on the forward end of the catalytic convertor. The oxygen sensor is not likely to have come unscrewed and to have fallen-out. The wire from the oxygen sensor is anchored to the underbody. The wire joins a harness on the firewall - near the aluminum cylinder (air-conditioning receiver/drier) - on the passenger side of the engine (US models, non-turbo engine).

The port on the down-pipe likely is to accommodate exhaust gas recirculation. There likely was a plug in that hole. I think you can tap the hole, and screw in a stainless steel bolt or screw. A high-temp anti-seize (nickel-based, good to 2,500 degrees F) will seal the threads and - should the bolt ever need to be removed - ease bolt/screw removal.

Hope this helps.

Yours faithfully,

Spook