You could get a digital multimeter and run a lead down there to measure resistance over the sensor. I believe the resistance should hover around .5 ohms. (see note 1 below)

Connect one lead in line with the sensor wire, and the other to the immediate ground. You might have to get creative with establishing ground.

If you go driving and have it set up while driving and the reading stays almost constant, then the sensor could be bad, or you know it's not getting any power.

I am not sure exactly what the o2 sensor will hover around, maybe it is 5v or .5v rather than resistance (ohms). I do know that an analog multi is not accurate enough to measure the resistance/voltage though.