An O2 sensor needs to be 600 degrees to work properly. Headers cool off at idle, plus the O2 is most likely downstream farther, the non heated O2 cools off at idle, ECM goes into open loop. A heated O2 will keep the ECM happy, stays in closed loop at idle by maintaining the 600 degrees.
A three wire O2 is a switched ON power supply and a ground, and of course the third wire is the O2 output. If I remember correctly my power for the O2 heater was taken off the oil pressure switch next to the distributor. Splice into the switch were the electric choke wire is connected. This way the O2 will only get power when the engine has oil pressure, just like the choke does.
A four wire O2 uses the 4th wire as the ground for the sensor, it's run back directly to the ECM board. This just insure that the sensor has a direct path with no resistance to the ECM. The newer cars run 4 wire O2s. When I was running headers and CCC a 4 wire O2 was run, overkill, possibly.