Yes, it may take a few days. Use your next full tank to check the fuel mileage.

Update: The gas mileage doesnt seem like it improved at all, and the check engine light came on 50 miles and 48 hours after installing the new oxygen sensor

Unfortunately I do not have a code scanner. I drove it around this weekend and it went off, came on again for like 10-15 miles, and its been off ever since. For anybody to diagnose the code, it will probably cost me like 75 bux. I do have an Autozone about 5 minutes from work, do you think its worth the trip over there for them to see what code is in the memory? Maybe its something stupid that the new oxygen sensor exposed? I really haven't seen that much improvement in mileage with this sensor yet.

Yes, go to AZ and try to pull the code if it'* still in history.

Yea so the check engine light hasn't been on, so I went to Autozone to see if they could pull it from memory, and they said that the light has to be on. So of course, the light comes on today while driving to work. This thing needs to make up its mind. I will probably go to Autozone today after work, and then it will probably shut off again! The gas mileage seems to have improved a little. Perhaps this check engine light is a sign of the car adjusting to the new sensor inputs, and when the light permanently gets fixed the mileage will really improve. Who knows... Thanks for everyone'* help so far.