checking for vacuum leaks can be quite tricky...go through all your vacuum lines and inspect them visually...get a can of carb cleaner and while the engine is running spray (within reason) any vacuum line connections you can get to, if the idle suddenly jumps up then you have found a leak...sprayaround the throttle body and plenum/intake area...
as for header leaks or exhaust leaks, look around for cracks and look for black/white soot in cracks and double check all connections...
the heated o2 sensor you have is fine...no problems with that