Dont try and remove oxygen sensor unless you know it failing as some of them can be tough and ruin the thread on the sensor. Just disconnect it as the engine management will revert back to cold settings. If the car runs better then thats the problem, if there is no difference then its something eles. Your air intake and heating system aren't connected. Only way they would get in if your heater blower was drawing them in through its intake underneath the plastic scuttle panel on passenger side. Sure its not wee bits of foam coming through the vents?