I have an 87 CRX HF and I had the same issue a few years ago when I was getting it back on the road.
Since these early HF oxygen sensors have a smaller diameter than the standard size, I would think that you could drill out the hole in the exhaust manifold and tap it for the 5 wire civic VX sensor (92-95). Cast iron is easy to drill and tap- just be sure to get the hole straight so the base gasket can seal correctly.
I agree that welding a bung in would be the best way to add an O2 sensor to a thin steel pipe- but cast iron can be really challenging to weld properly (I am by no means an expert welder, but it is tough for me when I do it) and there is a risk that applying that much heat unevenly in a small area will crack it it (unless you preheat the whole large item in an oven).
Cast iron parts are drilled and tapped after they are poured and cooled so drilling and tapping is a normal process for this material.
The location of the O2 sensor on his car would be very easy to access with a drill and tap- that is why I suggest this method.