Just be aware that these cars use a different type of sensor than 99% of the cars on the road, and the other kind won't work. The NTK is probably the best, I have found the cheapest place is to buy them online from Rockauto.com.

You've marked 2 of them in your photos, there are 2 on each downpipe. The upstream ones are reasonably easy to get too, the one downstream one isn't bad and the last is very difficult. It's on the inside, facing toward the engine. You'll need a 17mm wrench to change them.

The connectors for 2 are right at the back of the engine and are difficult to get to. It's probably easiest to remove the connector from it's bracket and then unplug the wires. Do them one at a time so you don't get them mixed up. There is no need for any sort of programming afterward, it's plug and play.