actually the O2 sensor in the CX is a single wire so a small bit of wiring is required.
on the new 4 wire O2 sensor there should be a white wire, a green wire and two black wires.
the white wire is the signal...splice it to the single wire that you already have.
the green wire is a "signal ground"...splice it to the GRN/WHT wire from the coolant temp sensor under the distributor.
the black wires are for the heater circuit...
the first (either one)splice to the YLW/BLK (any) at the junction connector near the clutch master cylinder(this is for power)
the second black wire needs to go to PCM connector A6(this is for heater control)

hope this helps