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Assuming the failed O2 senson in place already has been installed correctly, the toughest part besides getting in there will be how tight these damn O2 sensors can get stuck.
I'm not familiar with the DL's so I guess I'll just give a basic account of what is involved with an O2 replacement with the 850.
Get under the car, look for the exhaust line. The first O2 sensor is right before the catalytic converter. Disconnect the wire from the O2 sensor to the receptor. Use some penetrating oil, and try to remove it. It may help to put tonnes of penetrating oil on, leave it on for a while and try to loosen it again. Oh, and make sure the car hasn't been run in a while. It can get pretty hot down there, especially being that close to the cat. Another reason this is important to remember is, most penetrating oils are flamable, so either use a non-flammable penetrating oil, or be careful with it and clean up properly after your done.
In my opinion, I don't think you should use an impact wrench (if you have access to one). You can actually break the O2 sensor leaving some of it stuck in, requiring drilling it out and re-tapping. Sometimes, it even crack the exhaust line requiring welding to patch, then tapping again. Use a long wrench and a mallet and tonnes of penetrating oil.
I'm sure what I've said is probably nothing new to you. Hope it helped.
BTW, with the expense of letting the dealer do it, and the difficulties that can arise from doing it yourself, it's a good to time consider a full performance downpipe plus cat back exhaust system. :)
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