The oil cooler isn't exactly a requirement. GT's don't have them and have zero issues. The benefits are slim unless you're doing a track day. And the OTHER benefit is, you don't have to worry about it leaking. Now if you wish to retain it, when you spin the filter off, the "stud" that your filter currently screws onto is what sandwiches the cooler to the block. Take the filter off and tighten that piece up. That is more than likely your problem. It should be a large allen key in the middle of it. I've never done it on a 94-95 cobra however I believe the part is similar if not the same as the mod motor cars. If you don't have an allen key that large and don't want to purchase one, a bolt that fits in the hole and a set of vice grips will get it good-n-tight to stop your leak.
