you change the jumpers inside the casper box which makes the egr control and diagnostic wires become aux 1 and aux2 input wires
then run the signal in on the gray (or brown) wire of the egr connector by the coilpack
egr connector has four wires (12v- pink , control- grey , diagnostic- brown , ground- black )
the sensor should be 12v so it could be powered from that egr connector as well as grounded
otherwise you will have to run the wires into the car and add it in at the fast connector for one of the aux channels (see help index on c-com xfi for pinout ). note that aux 1+2 will already have a wire there with the casper adapter
as for O2 harness , drill a hole in the floor over by the hump (pull carpet back on passenger foot well)