2002 hyundai accent 1.6 manuel

i keep smelling burning oil but when i checked my oil and my oil filter it looks clean i was wondering if im just smelling it cause i took the cat off and built my own header cause on my car the header and the cat are built as one part so i cut it off and made my own header for more power also sence i did this my header comes lose and my o2 cencer makes sev.eng.soon light come but if i take the battery lose and tighten the header and put the o2 back on it fixes it for a week or 2 what can i do to fix these problems Please Help