I couldn't tell the difference warm or cold. I never had to use anything to aid the removal or installation of the sensor, but because I never had to deal with road salt, so I don't know if this job becomes extremely difficult due to rust. Depending on how the sensor was located, either a 7/8 wrench or an O2S socket attached to breaker bar was all I needed.
If you do this job cold, and it gets difficult, you have the option of spraying PBblaster on the old sensor to make removal easier. Don't use it on the new sensor. Some new sensors leave the factory with anti-seize on the threads to make installation and future removal easier.