Nicholaser

I'm replacing my oxygen sensors as well as the whole exhaust manifold/cat converter assembly. My question is about the Oxygen sensors and those posi connection box things that run between the sensor and the plug. What are they? Do I need them? The reason I ask is because I see some sensors that don't have them, that just have a plug on the other end. I Put a link to an image of what i'm talking about. Mine has an oxygen sensor then the black posi connector box and then the socket that plugs into the other socket.