Save some money, the stock cat on the SE-R is not a flow restriction, just use the one you have. Anything after the cat has no effect on emissions, so the Greddy will be fine. Hotshot headers come with connections for O2 and EGR, as long as you hook them up, emissions will be fine.
You might also find 'free' HP by doing a thorough tune up.
For background on most bolton mods, you can do some research on
http://www.se-r.net and
http://www.sentra.net