where is the oxygen sensor located

On your engine the two O2 sensors that are used to control fuel mixture are in the engine compartment near the cylinder head on the exhaust manifold facing up.

And what makes you think it's the O2 sensor? There are quite few things could effect your gas mileage. Get a proper diagnostic and repair it accordingly. If the engine gets unmeasured air the injectors will dump more fuel to maintain the correct air/fuel ratio and your O2 sensors are working just perfectly fine. If you want to spend $$$ for unnecessary parts, go ahead, otherwise find a good shop who can tell you what the problem is - without wasting your money. Zee