Installing air intake

I'm installing a new intake but I'm wondering how i'm suppose to take out the O2 sensor plug or whatever it is without trying to pry it out. Or is that the only way because i don't want to damage it.

The sensor you are talking about is the intake air temp sensor. It should pull out fairly easily without prying. It is only held in by a rubber groment. Make sure to reinstall it on the new one or the car will not run correctly.