I think I can help with 2 out of 3...
1) The t-stat is held on by the two bolts on the sides of the housing. You shouldn't need to touch the one on top. I belive that is actually some sort of valve (never played with it myself). I have never draind the coolant, just make sure you do this to a cold engine. I just pull off the hose leading to the housing and some coolant will spill out, but not much. After it is done I let it run, look for leaks, and eventually refill any coolant that was lost if needed.
2) The O2 is really easy. If it is anything like mine you will find it at the top of the down pipe leading to you catalytic converter. Save yourself the time and headache and buy a O2 socket. It looks like a regular socket except it has a cutout on one side for the wireing harness to get out of the way. Just unscrew the old one and screw in the new. Make sure you hook all the wires back up (only 1 connection).
3) Not sure about the PCV valve. Never messed with it on mine.