I usually drown the threads in any kind of spray lubricant the night before I want to work on it. And I mean drown — like do it when you turn the car off, before dinner and once more after the 10 o'clock news. (Don't start the car or it will all boil off.) Then don't worry about saving the old one. The special socket is just for the new one, don't try removing old one with it or you risk messing it up. In fact, I usually end up knocking the head off the old one so I can get a regular socket on it.
The last one I did, somehow I kept crossthreading the new sensor every time I'd try to start it. Before I totally screwed it up, I went down and at large expense, bought a tap to chase the threads. I now do this as a matter of course. Hey, it's cheaper than a new exhaust manifold. (Sorry, don't remember the thread size, take the new one with you and match it.) Don't forget to grease the threads of the new one with that special gray stuff supplied so you can get it out someday.