How to change engine oil cooler lines?

When you look at the radiator there should be a plastic cap. Gently pry off the cap and inside there will be a clip that locks it down. You can use a small flat tip screw driver to gently pry out. Becarefull though, they sometimes fly out and you can easily loose it. If you do, you can order new ones. Attaching a couple of images so you get an idea what to look for. Look at #3 on the second image.
Good luck and let me know how it turns out.

Based on your description earlier the lines you got you would need the clips that lock them in place. I looked up the police package lines on the website you bought the part from and it shows you need the threaded lines. If you actually have the threaded lines that unscrew then looks like the company may have sent you the wrong part or was misboxed? You should call the company you ordered the lines from once you verify what you have? If you want to submit a picture of your vehicles cooler lines of where they attach and a picture of the new lines I could try and help you out some more?