If you bought the Dynojet new, it should come with a little plug that goes into where the O2 sensor was plugged in. It essentially tells the ECU that the O2 sensor is still there and shouldn't throw a code. Since you're going to be removing the O2 sensor itself, you need to get a bung plug for the hole that's left behind. A local muffler shop should have them. But mine wanted too much money so I called MJS Headers and they shipped me one for much much cheaper than I could have gotten it locally...
Good luck