Yes

O2 sensors usually come in two flavours, 4 wire and 2 wire.  The four
wire type has a built in heater.  You need to have the correct one for
your car. Sounds like you got a generic O2 sensor, the intention being
that you splice the wires from the new sensors onto the old wire
harness.  I did this on my sons Honda, and it worked fine. The shield on
the existing cable is grounded.  The sensor voltage is less than 1 volt,
and usually swings between .1 and .9 volts, hence the shield to prevent
interferance.  The O2 sensor should have come with a splicing diagram.

As for removing the old one, you might be able to get a 22 mm
ring spanner onto it after threading the wires and connector
through the spanner's ring.  An open-ended spanner might also
have enough grip, if there's access to swing it.

If you're going to use a normal type of socket, you'll need to
commit yourself in advance by cutting the wires to get the
socket onto the sensor.  I use a special socket with a cut-out
in the side to accommodate the wire without cutting it, like
these: http://www.justoffbase.co.uk/s.nl/sc.2/category.177/.f

If you're using a universal-type replacement sensor where you've
got to join the wires to the original plug, don't be tempted to
solder them.  Just crimp then in the sleeves supplied.  The O2
sensor depends on a minute amount of air flow to the wiring
side of the unit, and that gets there through the air spaces in
the wiring braid.  Don't block them off with solder.

John