I think Will Tillery has them cheaper. He's a regular on this board and has great prices for just about all your Rover needs. He just posted on the Catco catalytic converter thread. Track him down and send him a PM.
The hardest part about changing the o2 sensors is getting the old ones out the the cat. They often are stuck on there thanks to the heat they withstand. I think they take a 17mm of 11/16th wrench.
You'll find the harness connection for the sensors down behind the engine, near the front of the transmission.
Good luck,
Paul
