I'm looking at 21-2-7 wiring diagram for the EF Falcon and I can see HEGO sensor (whcih I think is the oxygen sensor, the H being for heated or something). It's only shows 1 wire running to the ECU - dark green/dark blue wire to pin 35 of the ECU. Can someone confirm that this is the oxygen sensor wire to the ECU please?

im pretty sure you are right
there is only 1 to the ECU because the HEGO is a 3 wire Narrowband sensor

1st - 12v
2nd - Ground
3rd - ECU

Most Wideband O2's have more than 3 wires.