It's not crazy because lots of people do it. I did it. You need a carb, distributor, an intake manifold, and need to do a little bit of wiring. It really isn't a big deal. I went through and disassembled the wire harness and removed the wires to sensors/actuators/injectors that I wouldn't need anymore to clean things up. Outside of removing wiring and connectors, you have to wire the fuel pump relay different and will need to wire the distributor different, but the wires are already there. You will also need to wire the choke if you have a carb with an electric choke. It needs to be an ignition wire, but NOT the ignition wire to the distributor. I ran a separate relay for the choke.
The ECM is behind the glove box and the chip would be behind the access panel that should have two screws holding in on. I believe it sits on top of the HVAC box.
If the O2 sensor is welded to the exhaust it is junk. If you were going to use it, take it to an exhaust shop and have them cut it out and weld a bung in so you can use your new sensor. It shouldn't cost much. With O2 sensors, you cannot cut the wires because they won't work right afterwards.
It's probably running like a champ because the chip was tuned to run in open loop. If you change the heads it probably won't run that good anymore, expecially with no O2 sensor to provide feedback for fuel trim.