unless you're using an oxy-torch, i think you might struggle to get enough effective heat into it.
have you tried tightening it (to crack the seal) and then undoing it?
something else to consider is whopping the end of your spanner with a heavy, soft faced mallet to start it - but i'd ask others for their opinions of how delicate lambda sensors are before doing that as you don't want to risk any shock damage.
a bench mounted vice is going to be very handy to hold the cat dead steady whilst you're having a go at any of this.