If you just bought a drop in filter for your OEM air box, you need o do nothing.
If you ordered a K&N hi-flo cone intake, and it does not already have the sensor hole in it, go here to see what I did to modify mine.
http://nismopc.tripod.com/filter.htm
This is a $tillen/K&N intake I purchased back in 1995-ish for a '91 NX2000. I sold that car and put the intake on my '96 G20 with sensor.
If you ordered it from Stillen or JWT, and specified the year, make, and model, the hole should already be there.