Hego sensors come with various o/p wires from 1 to 4.
Yours being a 4 sounds like the heater are 2 seperate wires and the sensor head are a further 2, none may be connected to the chassis, check it with a meter.
You can just ground one of the sensor o/p wires to produce a single voltage o/p, if you do that take the ground wire to the op amp circuit and then ground it.
A better way to amplify the output is probably to use an op amp configured as a differential amp, or a instrumentation amp, you'll also need some compensation to prevent noise from getting to the controller.