There should be an on-board diagnostic tester. It's a little black plastic box located behind the driver's side strut tower. Open the hood and look around the strut tower, Brake master cylinder area - you can't miss it. Turn the ignition to ON, remove the cover pull the test lead out of the cover and place in socket #2. Depress the push button on the tester - hold for one second, but not more than 3. Watch the LED for display of the fault code. Count the number of flashes, if it flashes 1 (pause) 1 (pause) 1 (pause) then nothing is stored. A faulty oxygen sensor will be a code of 2-1-2. Buy or borrow the Volvo 240 service manual by Bentley publishers the codes and how to obtain them are listed in the book. The book will pay for itself in a short period of time.
The Oxygen sensor is an easy change, shouldn't take very long at all.

The diagnostic unit is actually kind of cool - no scan tool necessary.
Have fun.