why did you buy all 4? one check engine code means just one sensor - 4 codes would mean all 4... - which sensor is it that needs to be replaced? - and no they aren't that hard - the two front sensors are really easy to get too.. 22mm wrench takes them out - if they act like they are stuck - use a small torch to heat the area where they are - the back two are a little awkward to get too - again 22mm wrench - the drivers side is the hard one to unplug - the plug for it is on top of the transfer case and it has a little plastic pin you have to pull out before you can unplug it - the passenger side plug is behind this little metal plate on the frame - u can just unclip the bottom of it and push it up...
if the replacement o2s You bought have no plugs than keep the old o2s and clip the plugs off of them and wire everything up properly, screw em back in, and plug em back up