I bought the Yamaha service manual for my R1 years ago.
Supplementary service manual for YZF-R1V/YZF-R1SV
Supplementary service manual for YZF-R1T
Service manual for YZF-R1S
The part number is 5VY281972200.
The problem is it dose not contain O2 sensor information at all.
http://pdfcafe.com/2011/04/yamaha-yzfr1-2006-wiring-diagram.html shows O2 sensor information clearly.
It seems 06 R1 does not have an O2 sensor. Other R1 owners confirmed.