Cory:

It is typical that the O2 light is used as a Check Engine
Light in Subaru conversions.  It is also typical that it
is always "on" since it is hard to give the Subaru ECU
all the good news it wants.  That is what the Small Car
board is for:
http://www.smallcar.com/index.php?dispatch=products.view&product_id=29883

You should call Mike at Rocky Mtn Westy and find out about
your conversion.  Also, there is a Subaru Vanagon list
on Yahoo: http://autos.groups.yahoo.com/group/subaruvanagon/

Richard