Any muffler shop can do it if you don't want to. My last cost $37.50 in labor. I used the Bosch OEM unit as it is the same part Porsche buys.
http://mike.focke.googlepages.com/oxygensensors will give you the part numbers.
P1126 is most often an intake air leak.
AOS checked? Other hoses tight?
Done anything recently?
Got a K&N air filter or some other non-standard in the intake stream?
I'd fix the sensor and check the throttle body for oil and reset the CEL maybe even disconnect the battery for a half hour to cause the ECU to have to reset and relearn and drive for a bit and lets see what happens.