Here is a shot out of the blue since something like this has happened on a friends car. My friend had that same type of problem and I forget exactly what it was, but he had the voltage wrong or something and it kept messing with the O2 sensor and pretty much made them bad after a few thousand miles.
Not to scare you because, I think it was a little more involed then your case. So a little more info for us, how many miles on the new 02. I honestly have no other ideas then that.