It is possible, and cheaper. Results really depend on how well you make the connection, however.
The wire, which has a red sheathing I believe, has two clips next to the bellhousing and three or four in the engine bay. The connector in the engine bay is green. I found it difficult to remove these clips, and to remove the oxygen sensor I had to cut the harness in the engine bay, then I installed the new sensor and routed the wire the same way as the original; all of the clips fit perfectly. See
ARKQX33V6's suggestion, it should help you in replacing the O2 sensor with a direct fit one.