Just a suggestion - how old is that O2 sensor?
They are maintenance items, pretty much like a spark plug or a timing belt, and depending on when the vehicle was built, the anticpated life span may vary from 50,000 to 100,000 miles.
I just swapped out the O2 sensor on a Mitsubishi Pajero iO (a compact SUV about the size of a 5 door Sidekick), that I picked up last year - the replacement cost me about $35 from Amazon, and judging from the improvement in fuel economy, I'd say I'm going to save that $35 in fuel within about two months - not bad for $35 and an hour of my time.
I had no CEL and I did check all the sensors with a meter before the swap, the O2 sensor gave me bogus readings, which might have been because I let it get hot enough before the test, but, given the mileage on it, and the relative low cost, I decided to swap it and see how it would work out.
I'm changing the plugs on it next - and those actually cost me more than the O2 sensor.