Driving with the O2 CEL on is just making you run rich all the time. Not really bad for your car, but can be murder no gas mileage.

For the 4 wire O2 sensor, you basically need to wire in a plug so that your sensor feed goes to the ECU, you have 2 reference grounds and the 4th wire is for heating the O2, but I'm not sure how much voltage that requires.