I had to replace the rear one on my '96 965 that has OBD-II last summer. (I think salt water managed to sneak in from the back side along one of the leads.)

The MIL (Check Engine) lamp lit up and the scanner read a missing or no signal from the rear sensor. After replacement, I didn't really notice any change in the car's behaivor, idle, power, mileage etc.

The chance that you will notice any change in your car's behaivor is very small in my opinion. I wouldn't change one until it is known to be defective. Their life is so highly dependent on many factors such as number of heating/cooling cycles, contamination from many different sources etc., that I don't think any single factor, like miles, will predict when it will reach end of useful life. I'd wait for the intelegence built into the 32 bit OBD-II computer to tell you when to change one. (Especially since they cost about $200 each.)

On older systems an O2 sensor could degrade and the control system wouldn't detect it. Hence a replacement would inprove the engine's operation. Not the same with the newer control systems.

The connectors are located high up in the engine compartment on the driver's side near the back of the intake manifold. The connectors have a clever/tricky lock that needs to be opened with a small thin screw driver blade to seperate them. They also are cliped to a mounting bracket in a clever/tricky way. Get lots of light on the area so you can see how they are built. As I remember, the connector half for the sensor mounted to the bracket. The wires are routed down along the transmission and across to the exhaust system. The cable ties can be opened and reused if you are careful, but getting new ones when you do the job will make life easier. The assembly from Volvo has markers on the cable to show where the ties should be when you have the cable properly routed. My sensor came out using an open end wrench ok. I was careful to not over-tighten or smear the never-sieze when putting the new one in.
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'96 965 with 16" wheels at 92K. Had '85 745 Turbo Diesel for 200K.