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I ruined one of mine when my end wrench slipped trying to get it out on my 08. It's too deep into the exhaust manifolds for a crescent or end wrench to fit properly. Do it right and get an 02 removing socket!
Autozone rents out their O2 sensor removal kit for free. They put a $17 hold on your credit card till you give it back.
It consists of a deep socket (something like 22mm) that is the standard size of all 02 sensors, and it has a slot down the side of it for the cable to go. There are also two other pieces in the kit, but not sure what you would use them for.
I realized I didn't really need it since I was taking all my pipes out anyway when I did my headers, and a crecent wrench works just fine then, but it still helped.
Just installed a set of Kooks last weekend. A regular open end wrench will work. For the O2's on the exhaust manifolds, just remove the heat shields with a 10mm before you remove the O2's
Definately use high temp anti sieze for the O2 sensor and make sure you do not get it on the sensor ( you will ruin it ) Also use anti sieze on all your bolts that go into the block.