You should probably do some searching here on what causes a CEL when you install catless headers - this all has been covered over and over.
Obviously your post-cat O2 sensors will throw a code without cats because your catalytic converter efficiency has failed. If you install O2 simulators in place of your O2 sensors (which still won't let you pass emissions in most states) you'll get a code for O2 sensor heater circuit failures because the sims don't have a heater circuit built in.
You can use the post-cat O2 sensors for this. They have heaters in them. You can plug them in just for purposes of having the heaters in the circuit. You can hang them in the drug bin or just screw them into the headers. Doesn't matter where you put them, they just need to be in the circuit.
'03 330i ZHP 6sp street car
'02 330Ci 5sp race car