Carefully go over any and all components you would have unhooked/removed while doing the header install. Make sure every single thing is back where it should be. Also, did you use the proper electrically-conductive anti seize on the threads of the O2 sensor when you installed it in the headers? It may not be grounding properly for normal operation, causing the PCM to read a in improper fueling condition.
EDIT: If you didn't use proper anti seize on the O2 threads, you can generally find copper anti seize that is electrically-conductive. Also, none of this matters if you installed a brand new O2, because they come pretreated with proper anti seize compound from the factory.
1997 SE w/SLE package
"White curse? I think it'* more like.... WHITE FURY!" - MyLittleBlackBird