Soak them with some PB Blaster for a while before trying to break them loose.
Pointless.
The sensors use a gasket just like old spark plugs--the gasket makes it a gas-tight seal. IF scraming-hot exhaust gas under mild pressure can't get out, liquid penetrant can't get in. It'll never get past the gasket to the threads.
If you could turn the sensor half-a-rotation, so that the gasket was not in close contact between the sensor and the boss for the female threads, the penetrant might do some good--but by then you've already gotten the sensor broken-free.
Oh, yeah.
The big problem with typical "O2 sensor sockets/wrenches" is that they're split on the side so they can be put on the sensor by feeding the wire harness through the side of the tool. Then the tool has reduced strength because of the "split", so it flexes and rounds the corners of the O2 sensor.
I have the Snap-On branded version (# SWR2) of the Lisle 12390 wrench. It's "OK" but not better than OK. The thing desperately needs to be 1/2" drive instead of 3/8, and more-robust all around. I've also got a socket-style tool, but it's an off-brand, poorly made (weak) and also 3/8" drive. That one is useless on O2 sensors, but might be OK on thermo-vacuum switches.
Years ago, I bought a six-point 7/8 Craftsman raised-panel (cheap) USA-made wrench, then bent the handle just ahead of the box-end, this works great if there's access to use it. The harness on the sensor may have to be cut because some O2 sensor connector bodies won't fit through the box end. Since it's not split, it's much stronger and doesn't slip on the hex wrenching surface of the sensor.
I bought a new socket for O2 sensors yesterday. Haven't used it yet, but I have verified that it will fit any of the O2 sensors I have on hand. This is a WRIGHT-brand 1/2" deep impact socket, # 4928. I have a similar Snap-On deep impact, but the hex broaching is very shallow. The SK 1/2" drive deep impact is made the same way as the Snappy--shallow broaching. They're probably stronger sockets than the Wright, but they won't fit over an O2 sensor.
The Wright is broached all the way down, so there's room for the thick body of the sensor. It's (just barely) long enough, which is fine, it'll give maximum possible clearance. And of course, thick-wall and will accept a 1/2 breaker bar or ratchet without an adapter. The wire harness has to be cut off the sensor near the sensor body to use this socket.
I'm hoping to extract the O2 sensor on my Monte Carlo with this socket, from the top of the engine without having to crawl underneath and disconnect the exhaust pipe from the manifold. But it might be handy in other applications as well. Everything depends on the available tool clearance on each vehicle.
I got mine locally, but here's the Amazon link to the same product. The socket is Made In USA, Wright is a well-respected manufacturer of tools for "industry" rather than for "auto repair"--but there's a lot of overlap between industrial-purpose and vehicles.
https://www.amazon.com/Wright-Tool-4928-6-Point-Impact/dp/B002VKBRCC/ref=sr_1_9?keywords=Wright+7/8+deep+impact&qid=1568917945&sr=8-9
