A few comments about your multimeter...

1. Not all meters are created equal, and you need a high impedance meter in order to respond to the oxygen sensor output. I'm just guessing here, but I think you would want a meter with 5 mega-ohm or better impedance.

2. I like analog meters better because you can watch the needle swing as the voltage changes - the digital ones update periodically and may not represent the signal very well.

3. I bought a cheapie analog meter and it was NOT up to the task - impedance was not high enough, so it overwhelmed the sensor output...didn't really show anything.

4. If you are using an "auto ranging" multimeter (pretty common in digital meters) you might find that you have to put it in "range hold" mode to keep it from bouncing around trying to dynamically change the range. You might hook it up to a 1.5 volt battery and let it auto-range to that voltage then press the range hold button...otherwise it might lock onto a range that is too small.

5. Wouldn't a handheld scope be great for this job?