Nick, typically there is a heat shield on the Oxygen sensor to protect the electrical connection from exhaust heat. You will need to remove it before unscrewing the Oxygen sensor.

Most auto parts stores sell the crow's foot tool for removing Oxygen sensors. The tool has a slot in it so it slips over the connecting wire. There should be a coat of Never-Seize on the new Oxygen sensor threads. If not, apply some before installing it.

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Fred Hoelzle