That one is the easier one to get to but its also the one thats the closest to the head so it gets SUPER hot.
If you dont have an 02 tool you may look into renting a set. I dont think it requires removing the heat shield. Might need some PB blaster to help clean it up before you crank on it.
Mess with the clip and see how they come apart it seems like they are all different.
Also call around before you buy it, i found in my area they all price em different. Anywhere from $50- to $150. i called 6 different auto parts stores and i get 6 different prices. They arnt even close on prices either.
Also dont forget to pull your - battery after you replace it to clear the ECU, ide do that first. Ide also have it off while i was changing ti just so it could have time to clear.
You then need to give it some time to relearn, my 07 took about 150-200 miles. Might not take as long with an 02 sensor though.