I've always thought that unneccesary wire splicing is just an invitation for trouble/hassle. Most O2 sensors that I've messed with use some sort of heat-resistant wire that's impossible to solder... so crimp splices are probably your only option. Butt splices with sealing shrink-wrap are available and would probably work fine.
I always just pay a few dollars more for an 02 sensor with the right connector, though. I've always gone with the local discount autoparts store- whatever brand is cheapest. They seem to work fine. I changed the O2 sensor in my '01 Lumina at about 160k a few months back, and it increased my gas mileage significantly (had been getting 25 hwy for the past year or more... went up to 29 on the last two trips).
I always put antisieze on them- you'll congradulate yourself on your foresight next time you have to remove the sensor. Also, Autozone has 02 sensor sockets available with their tool loaner program... it beats paying $30 for a tool that you'll likely only use once.