Trouble shooting O2 sensor?

My Car
2002 P5 145 xxx km
Standard and stock
I have a P0421 code and sometimes at idle my car will drop below 500 rpm if you give it gas its okay.
I believe the computer is not controlling the air/fuel mixture properly.

My manual says thats its the O2 sensors (loose or malfunctioning... they aren't loose) the WU-TWC (First CAT immediately after the headers?) is broken or there is an exhaust leak (which I doubt because the car isn't load and it doesn't smell)

Thoughts Ideas. Please.

Also

How does the computer react if you get rid of the cat by getting aftermarket headers?

Anyone had any experience buying O2 sensors online NAPA wants to charge approx $220CAD for a sensor.

I don't know if the same applies for N/A cars but when I installed my catless exhaust, I would get an occasional backfire and I have a CEL for the code
P0421: warm up catalyst sytem efficiency below threshold. Probable Cause: exhaust leak or faulty cat. I don't think it will affect your cars performance by removing the cats, you will just get a CEL for the cats not being there, which is the code above. I don't know if it could be the o2 sensors though.