Matt, you will be amazed at how much better your car will run and perform (not to mention better fuel economy) when you get your sensors installed. I thought I had a new engine in my car after I did it!
They come from the factory with anti seize on them. I dont know if it has any silicone in it.
The anti-seize applied by sensor manufacturer is not Silicone based. If you decied to apply more, make sure you get the same. Some will even say "Oxygen Sensor Safe" on the packaging.