Just start it up while the engine is cold. Feel with your hand all around where the exhaust manifold meets the head and if its a leak you'll beable to feel it. It won't burn you to the point of hospitalization either. If it isn't there check where the exhaust pipe meets the exhaust manifold, might just be a loose bolt. Lots of new engines don't use exhaust gaskets anymore. Its just such a finely machined surface that it doesn't need a gasket and I have found that a gasket will make them leak. As for your O2 sensor...its cake. Disconnect the wire(s) going to it and take it off. Some sensors require a special socket though (vise grips work just as good!!)Be sure to put some antiseize on the new threads b4 installation, it will make taking it out next time a whole lot easier.

Thanks man!!! I have wanted to own a Bronco for years and now that I have one, don't want to screw it up by doing something that looks obvious but is nevertheless WRONG!! I figured I would ask someone who has worked on them more times than I have. I thought the O2 sensor might be easy, but.....just when you assume something, bang, you're screwed!! This is the only vehicle I have ever owned with a sensor, so it is all new to me. Also, I'll check the engine on the wifes car this weekend for exhaust leaks.