One other bit of advice I can offer is to go to a Chrysler dealer parts counter and buy a can of Chryco's "Heat Riser Solvent" in a spray can. I discovered it years ago, and it is superior to Liquid Wrench (which is superior to WD-40). Whether you use Chryco's stuff or Liquid wrench, spray it on, let it soak in for awhile, and then tap it gently with a hammer, and wait a little more. The hammer taps work it into the threads.
You may have to repeat the process for multiple days in a row, but eventually you should be able to break the sensor free.
Also, remember that for removal of the old sensor you don't need to use the special O2 sensor socket - you can use any closed-end wrench, preferably a 6-pointer (22mm, I think), which will allow you to put more a$$ into it. You only need to use the O2 sensor socket for tightening the new one.
2006 Honda Odyssey EXL-RES
2006 Honda Accord V6 EX-L Sedan
1999 BMW 540i 6-Speed (Sold to M3UOND on 9/21/06)
1991 Honda Civic Si - Occasional Beater