The check engine light in my 2003 Cavalier came on. I took it in to get diagnosed and they told me that it was my 02 sensor (oxygen sensor). Since then my check engine light has gone off. I still would like to replace the sensor myself, so how would I do that, or should I take it in to be done instead? I don't want to mess anything else up.
It's not a physically demanding job by any means, but it sounds as if you already broke something -- so it may be time to step back, and reflect.
A big question is which oxygen sensor are you going to replace? The first one, mounted in the exhaust manifold in front of the engine, helps the powertrain control module decide on the most efficient air/fuel ratio to use by analyzing the amount of oxygen in the exhaust gasses.
The second O2 sensor is mounted downstream in the exhaust system, after the catalytic converter. The powertrain control module analyzes the difference in the exhaust's oxygen content before and after it flows through the catalytic converter; this determines whether or not the converter is doing its job. If not, on goes the check engine light.
So ask the technician who scanned the system which sensor was at fault. The sensor in the exhaust manifold requires the removal of a heat shield, and possibly the use of a special socket specifically designed for the O2 sensor. The post-catalytic converter sensor should be easier to access with just a standard wrench.
If it's a high-mileage vehicle (100k or so), which you plan on keeping for a while, it may be a good idea to replace both sensors and eliminate doing nearly the same job over again in the near future.