I've changed the 02 sensor and the check engine lights is still on.... Now what?

Question, did you clear the check engine light once the repair was completed? It may take quite a few ignition cycles before the PCM reads that system again and clears the light on its own ....... If you've already done this, and/or the check engine light returns, Unfortunately, no, if changing out the sensor did not resolve the code, it does need a diagnosis.