By heating up and cooling down over and over again. the Oxygen sensor will get rather stuck in the manifold. Anyone who has replaced an Oxygen sensor before will know this and will be aware of the amount of trouble they'd have to go through to undo the sensor.

Altough this socket will not do miracles (you should continue to do these ;) it will certainly help you doing this job.

Simply spray the sensor near the thread with penetrating oil and leave it for a night. Then try to undo the sensor. If it doesn't move, simply spray again and wait until it does come off.

The big advantage of this tool... the hexagon of the sensor will not be rounded and you can apply more torque without slipping off.