What ECU/engine management are you running?

You are correct, you want to run the PLX signal wire to teh stock o2 input wire on your ecu. Which signal wire you use will depend on what your engine management is... give some mroe info please

Also, be sure to be careful and wire the power, ground and signal wires about 1-2 inches away from the ecu itself. Also don't forget to install the capacitors that are included with the wideband.