You should ground all electronics at the same point, soldered to individual lugs, or, at the very least, use the same ground wire that the ECU uses assuming it's capable of the current. Grounding to the chassis risks changing reference levels across each component which could drive current in reverse and/or exceed allowable potentials in one or other part. For fairly low current devices use the signal ground, for stuff like 02 sensor heaters use the power ground.