Use a ohm meter. You should have a resistance between two of the three wires and nothing to outside case/manifold. The output from the sensor of o.1 to 1 volt is from a single wire and the ground of the engine.

I use a standard two wire 0-2 and do away with buying the over priced 3 wire unit.

The heater is there just to bring the sensor up to operation about 30 seconds sooner on a normal day and maybe a minute or two on a winter day. It is a gimmick from the sensor makers and the car manufactures to snag extra money cause when you get a smog test your engine coolant has to be hot anyway. There is basically no time limit on the test and for sure no cold start requirement. They never would be able to test peoples cars if they had to start out from a cold engine. Imagine those inspection lines!