I'd guess that the conductors at the sensor end are stainless steel or something similarly heat resistant. A search or two on "O2 sensor" yields a bunch of one-time success reports and a similar bunch of one-time failure reports for soldering O2 sensor wires, so they're probably not all the same.
So I'd try very careful cleaning and solder, and if that didn't work, I'd try mechanical connections like screw-clamp terminals. I might trust a controlled-cycle crimp with the right tooling. I wouldn't trust an insulation displacement connector. In any case, I'd use shrink tube with a hot-melt lining.
I also found extension cables that just plug in, but apparently there is some confusion about specifying the connectors.
Mike Halloran
Pembroke Pines, FL, USA