'95 is the last year for single O2 sensor, and it uses a three-wire (heated) sensor. Its normal position on '94 and '95 is just ahead of the converter on the stock exhaust, which is where the Y-pipe joins both downtubes from the manifolds.
I'm sure you could get away with mounting it on that header that has the spot for it; but that's '93-down position where they used a non-heated single wire O2 mounted in the rear of the driver's side manifold. I presume they moved it down in '94 to get a good overall reading that accounted for both sides of the engine, but that also necessitated changing it to a heated style since it's farther away from the exhaust ports, and O2's work best when temps are up.
You can check codes yourself easily with a paperclip. Read more about it here: http://www.troublecodes.net/GM