There are two basic types of oxygen sensors, narrow band and wide band. Both are based on a substance called zirconia.
The narrow band uses the voltage generated by the zirconia as a signal to indicate the air/fuel ratio.
The wide band is a little more complicated and uses a current pump system. (IIRC) The sensor trys to maintain a perfect A/F ratio at the zirconia by allowing more or less oxygen to the zirconia (it 'pumps' more or less oxygen past the the zirconia). This flow is proportional to a small current. It is this current that is used as the signal to the computer etc.
Provided the oxygen sensor is of the correct type for your gauge you should be able to run it directly to the gauge. If however you disconnect the oxygen sensor from the ECU in order to connect it to your gauge and the ECU relies on the oxygen sensor signal for tuning, then things arent going to work.
It might be possible to use the oxygen sensor signal for both the ECU and gauge, depending on the resistances (loads) the ECU and gauge form. Both the ECU and gauge should be very high impedance as the oxygen sensor can supply next to no current.