Is there a way to know when the pre-cats need to be replaced before they cause any damage to the engine? If you get the P0421/P0431 codes, is it already too late?
Well done on the O2 sensors. The only way to really monitor is using those sensors to see how the catalyst is responding. These will only work on the front cats and not anything downstream but generally those should be fine if the upstream ones are healthy. Remember you can always unbolt the downstream cats and shine a light through/behind them for a visual inspection.
The P0421/P0431 codes mean you have crossed the inversion threshold. I would say it is too late when they start to disintegrate (well after the code point) This does not always mean curtains however as my car is a testament to. (see below)
I am attaching the Three-way Catalytic Converter Inspection Procedure
as listed in the Mazda Workshop Manual for the 2004 Wagon (my car). As you approach the inversion threshold your converters will be indicating decline. Until that point I wouldn't worry about it.
You replaced plugs and coils already. That, combined with the recent O2 sensors is more than most.
One thing I did was to pull out the crank position sensor (down where your oil is dripping on your exhaust...mine too) and cam position sensors and wipe them clean of metal dust. I was a bit surprised at being able to notice a difference.
Also make sure to run a fuel injector cleaner every oil change (I use Techron with excellent results) at minimum.
Lastly, be certain that none of your ignition/fuel connectors can come loose (coil plugs or fuel injector plugs. Those plastic connectors turn into baked egg white meringue after time and basically vaporize on contact)
One last thing I want to comment on is my car was starting to "ping" at 1700--2300 RPM and also right before a gear change (automatic). I believe this was a result of increased back-pressure from a failing (clogging) downstream catalyst (I replaced the bad upstream ones but was cheap and did not do them all). There was also a power loss but I did not notice this as it was gradual, over a year or more.
If it's an Automatic, change your trans fluid. I think I am settling in on 3x drain and refill every 40K mi. The Jatco 5spd is no longer made and at $2K + to rebuild can put a car in the salvage yard just as quick.