Removing the catalytic converter will have little effect on the ECM which has the capability to adjust to that change. However, removing the O2 sensors is a bad move and will prevent the ECM from being able to make the minor adjustment to removing the cats; don't do it.
If your goal is better performance and a cooling running motor, install the SE air filter or an equivalent after market setup, remove the cats, install a set of aftermarket slipon mufflers, install a fuel management system like TTS Mastertune or the DJ Powervision and have the motor properly tuned. The added cost is what has been called the "Harley tax" forever.
Or spend a bit more and replace the complete exhaust system with a new head pipe like the V&H Power Duals and mufflers of your choice. A Stage I upgrade, done and tuned properly, should be good for 10HP/10TQ over stock; it will measure on the butt dyno.
If Stage I is as far as you want to go, you could save some $$ with one of the alternate fuel management systems like the Dobeck offering which is "pot" type system or the V&H FP3. You would need to do some research on both system to see what you might be most comfortable with as they are both DIY in the sense that no dyno time is "required" to get a decent tune.
Perhaps you should start a thread like "Dobeck vs FP3" and get some information from users?:s