When you put the new one in, the service manual indicates it should be torqued to 33 lb-ft.
Also, it's a good idea to cover the threads with anti-seize lubricant. You can get a little tube of Permatex Anti-Seize Lubricant 133A. That product is designed to work right with O2 sensors. Don't use a product that isn't known to be sensor-safe.
You can use that same stuff on spark plugs.
A nice selection of O2-sensor tools is here:
http://www.sjdiscounttools.com/vehic...sor-tools.html
I got the socket-style, but I wish I had gotten the crows-foot style. I think it would work a little better on my car (VX).