If you have never soldered before I would not try to build an MS. If you think you want to try I would order the MS Stimulator kit (not the jimstim) and try to build that. It has a transistor on it which is the smallest and closest pins of anything on the main board and has the DB 37 connector which has a bunch of pins fairly close together. If you think the stim is easy then you should be able to handle the main board, if you had trouble with the stim dont even think of trying the main board. Having a stim should be required if you build your own board and I think it is still a good thing to have even if you buy a pre built board for some testing. I have been soldering as long as I can remember and do it fairly regularly in my day job. I built my V3 board and did not have any problems with it but I think my next one is going to be pre built. You do learn some things building one and now that I have done that I have better things to do with my time.
You dont have to use a O2 sensor if you dont want to but even a narrow band ($30ish) has its benefits. There is a section 'Wiring and Sensors' on the MS info site I linked to earlier that gives some part numbers and details. For a wide band I have only used the Innovate LC-1. It does seem to have a few minor bugs that their LM-1 does not but the LM costs more. Cheap and reliable wide band does not seem to go together. They all seem to have their down sides, even the $500 ones have some issues.