From what I've read about O2 sensors there can be a Bank 1 sensor 1, Bank 1 sensor 2, Bank 2 sensor 1. I not sure exactly what Bank 1 and Bank 2 refer to, but sensor 1 should between the engine and the catalytic converter (ie. upstream) and sensor 2 is after the cat converter (ie. downstream).
As far as cooling problems...If there are no signs of external leaks, I would suspect a head gasket or an intake manifold gasket leak. I have 96 yukon and ran in a similar problem where the temp gauge would spike and I was experiencing coolant loss and having to refill the radiator often. Took it to the mechanic and found that my intake manifold gasket sprung a leak a coolant was mixing with engine oil. If I remember right, the gasket repair was around $600. If it is the head gasket, the price will be higher.
Hope this helps