When replacing O2 sensors, I usually snip the sensor wire right at the top of the old sensor. The sensor is going in the trash anyway...
Then, I unclip the cut end of the sensor wire from the harness connector. Cutting the wire at the old sensor allows me to get on there with a good box wrench to remove it easily.
Hand-thread the new sensor into the port on the exhaust with the wire disconnected. That way, the wire can spin all it wants while the the sensor turns. Then I use an open-end wrench to tighten until it feels "tight enough". Like a spark plug... tight, but not too tight.
Once the sensor is in and tightened, connect the new sensor wire connector to the harness connector and push the retainer clip back into the hole on the frame to keep the wire from flopping around.
No need for fancy "O2 Sensor socket" (the special socket with the slot).
There are other tricks, like twisting the wire before wrenching it in. That works fine.
It is just that I never find the right number of twists and it bugs me when the wire is left with a bunch of extra twists in it, so I let the wire dangle unconnected until I am all done spinning the sensor around during install.