I noticed that there is a HOT and COLD mark. Do I do it with the engine running in park, or? Thanks.

Run engine at least 15 minutes and then park it, and with foot on the brake, shift though all gears very slowly, then pull the tranny dip stick and read the hot side. Never trust the level if you read it cold. It can be underfilled by a smidge, but never over-filled. Hope this helps.
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1998 S70 T5 Emarald Green Metallic, 2004 V70 2.5T Ruby Red, Previous Owner of Black '94 850 Turbo Wagon. My cars have been running so well lately they've got me worried.

Where is the gear selector when I check it?

In park with car on and idling. Just go through your gears very slowly...3-5 seconds in each gear before you end up in "P."
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1998 S70 T5 Emarald Green Metallic, 2004 V70 2.5T Ruby Red, Previous Owner of Black '94 850 Turbo Wagon. My cars have been running so well lately they've got me worried.

I would also suggest to wipe the dipstick off after pulling it out the first time. Put it back in and take another reading.

Very good point, and it's important to use a lent-less rag to wipe it with. Even a little contamination in the tranny is not good for it.
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1998 S70 T5 Emarald Green Metallic, 2004 V70 2.5T Ruby Red, Previous Owner of Black '94 850 Turbo Wagon. My cars have been running so well lately they've got me worried.