Can someone please tell me the location of the O2 sensor, and what needs to be removed to replace it.

Should replacing it be a priority for proper tuning?

Thank-you

 

It is located at the back of the engine compartment on the passenger side. Right by the exhuast manifold.

I think all you need to replace it is a 18 mm wrench.

About the priority, it is important for economy.

 

ithankyou

 

You don't need to remove anything to replce it but, if it's the OEM unit, it's probably stuck like a no-cup-muffin.
I used about a three foot extension and a T-handle to brake mine loose from up top. It's easier to get some torque on it when you can be standing in the clear.
Get the generic BOSCH unit from a parts store instead of Mazda's $$$$ one. The BOSCH comes with a crimp-on connector and some heat shrink that you just attach to the factory wire after you clip the old unit off the end. Get some anti-sieze too coat the threads of the new sensor so the next guy doesn't have such a hard time with the R&R.
Cory

 

If you don't feel like messing with the Bosch, get a Niehoff. Goes right in - no adapting or snipping required.