Graham,
My B&B headers & a friend's both did the same thing on our 3.2 Carrera engines. You can either notch the shield or drill out the spot welds and take it off. When I took the shield off, I covered the sensor wires in Parker silicone fabric heat shielding wrap. It's the orange stuff at the top right of the page
http://www.mcmaster.com/nav/enter.asp?pagenum=791
What you'll also find is that the stock heater hoses are too long since the B&B heater box pipes are longer than the stock heat exchanger tubes. So you'll have to cut the hose a bit.