I believe there are three oxygen sensors. One is in the front, sort of visible from the hood, another is closer to the firewall, and the third is in your cat.
Oxygen sensors affect your emissions and nothing else. That being said, if you are noticing bad mileage it shouldn't be a result of a bad O2 sensor, it's probably something else. There's no reason to put off replacing it, but the only time it is absolutely necessary (as far as I know, and I could be wrong so someone else can feel free to correct me) to replace it is when you are getting an inspection where your emissions will be tested. I don't know if it is the same in your state as it is here in MA, but emissions are tested every other year during an inspection, or upon transfer of ownership or re-registering the vehicle.
As far as I know, it is fairly easy to replace these sensors though I have never done it myself. I think for at least one of the sensors, you may need a jack or something because it is hard to get at. Also, try to find out which sensors you need, you might not need all three though many people replace them all at the same time regardless. Good luck!