If memory serves, I think that crimp connectors are the preferred method to connect the new oxygen sensor to the old lead. I have always spent the $$ for a complete sensor, because diagnosing sensor-related problems is such a PITA.

Perhaps I am lucky to live in Sacramento, but I have replaced a half-dozen oxygen sensors on Volvos and BMWs and all of them came right out with a combination wrench. I own an oxygen sensor socket and have never used it.

If you have a two-wire (heated) oxygen sensor, I would not try replacing it with a single-wire unit. I had s bad connection between the fuse box and my sensor heater, and that thing gave me fits because at low load, the sensor would cool down to where it did not work properly and the engine would set a code for bad oxygen sensor and go open loop, which caused my gas mileage to go to pot until I reset the code.