I think you will be OK on the O2 sensors.
If you can get your hands on the July issue of JP Magazine the do an article on adding power to the 2.5 ("Abusing Squirrels"). I looked on their website but couldn't find it.
Cold air intake
4.0 throttle body (grind out manifold plenum to match throttle body)
High flow cat and cat back
Adjustable map sensor
I would put re gear at the top of the list.