You always want antiseize on an O2S but there's one catch...the typcial antiseize compounds you get at a parts store won't work. The temps oxygen sensors see usually burn the compound away after a time making removal of a sensor which has been in-place for a long time very difficult or impossible without destroying the threads on the sensor bung.
At the factory, O2Ses are installed with a special antiseize compound that contains glass particles to help the AS compound remain durable at the high temperatures O2Ses have to endure.
This is why many high quality sensors, such as Denso and Bosch, come with a little tube of special antiseize compound. I have found that sensor mfgs. usually give you more than enough, so I'm always careful to save what's left in case I need to remove or change a good sensor and require more compound for the replacement.
In lieu of the special stuff that comes with many sensors, I've also had sucess with DuPont Krytox high-temperature antiseize compound.