I'm just about to do that, too... In my Berlina, it was just a case of splicing into, or making an in-line adapter from the sensor wire, then hooking up positive and negative power.
On the Skyline, there are three cables for the oxy sensor, use the single wire that is not the same colour as the other two. I think it is white, with two blacks for the heater. I just bloody changed mine, and I can't remember the colours!