You are not wasting gas, but your car is polluting more than it should be. Get a cat installed. Plus, even if there are no emissions inspections if it is found out that you are operating with emissions equipment removed youcould be fined. I have seen roadside inspections before where the state police visually inspect vehicles, and issue citations for missing equipment. I would say that the O2 sensor is probably still there, as the fuel injection system needs it to calculate the a/f mixture.
If I understand common emissions systems correctly, there could definitely be one or two O2 sensors missing. There are sensors before the cat and after the cat; the ones before the cat are used for air/fuel ratio measurement, and the ones after the cat are compared to that to make sure the cat is working correctly.
If the cat is removed the system should throw a code and light up the Check Engine Light (CEL), either because the post-cat O2 is missing or because the pre-cat and post-cat O2s measure the same. Obviously if one is missing that would do it too. If there's no CEL, then the post-cat O2 may have been replaced with an electronic O2 sensor simulator (I think they're called an "EFIE").
I'd make sure to get the stock VX manifold and cat...it mounts the cat right on the front of the motor Honda seemed to do this on its FE cars so they must have had good reasoning behind it...you might be lucky and score one on a local care forum since people ditch them for a header...if you have some tools and simple automotive experience you could save some money and install it yourself (http://cgi.ebay.com/ebaymotors/96-97...spagenameZWDVW) this is similar, I imagne for the $150 your mechanic is just gonna weld in a $30 universal Cat, if you want to go that route just order one from summit and go to an exhaust shop, they would probably charge you $50 or so to weld it into your exhaust...if you could take a picture of your current header, there should be an O2 sensor mounted on it, hopefully the previous owner didn't ditch it...you'd probably have a CEL if they did...GL