Yes removing the oxygen sensor can destroy the tread and depending of the location lead catalytic converter replacement. it is not a rip off.
but if you want to do it yourself,
The first thing you need is an oxygen sensor socket. get it at autopart store.
You'll also need a can of rust penetrant. I recommend CRC brand FreezeOff. Why? Because the best way to free up the sensor is to start the vehicle and warm up the exhaust. Get it warm,Then spray on the FreezeOff spray. That will chill the warm metal and "shock" the rust.
the tool look like this.
Friday, October 23rd, 2009 AT 10:45 PM