Yes, there is a return line, and if you have a fuel cell with foam, just direct the return flow into the foam. With a regular tank, the same, but direct the fuel into a wall at an angle, to reduce the vapor and aeration effect in the tank (There is currently another thread on the main board about this also)
Either way, keep the return line as far away as reasonably possible from the fuel pump, (it must be in the tank for FI) and route it in the coolest position, away from hot brake lines,
oil cooler lines, etc...
Realize that you also need a fuel pressure guage, as I have, either mounted in the dash (expensive because you need the isolation unit, it's NOT safe otherwise!) OR, mounted in the motor compartment, on one of the rails, fuel line, etc...(I think rail mounting is the way to go)
The O2 sensor is indeed mounted just below the collection point for the headers, in the motor compartment.
Hope those answers help.
PS, what is the color you have on your cobra? It is similar to my Dark burgundy cherry pearl (I will have ghosted silver stripes also)
Nice color choice on your car, something classy but different !
Steven, AKA, BiB