The exhaust should be fine... it will just wear out the catalytic convertor and screw up mileage and emissions. Don't spend much money on a replacement O2 sensor though... you can get a new AEM UEGO guage-type wideband for $279 (replacement sensors are only $63), and that can also be used to emulate the narrow-band signal for the ECU (you just have to fake out the O2 sensor heater circuit, or use Uberdata to disable that code in the ECU, so that it doesn't throw a CEL about it).