If no plug fitted you will have to use your old one after cutting off, make sure the wire colours are the same though, will most likely be 2 x white, 1 x black and 1 x grey, the two whites can go either way round these are the heater circuit for the sensor, so it reads quicker from cold, the black is the signal return(reading one) the grey is earth, if missing it is because it is earthed through the exhaust itself.
If you get the engine hot the old sensor will come out easier, but also your skin will melt easier too!!
tabetha