Your 1996 OBD II car requires four oxygen sensors.
The front ones are screwed into the exhaust manifold just above where it connects to the exhaust pipe. Part number is 11781437943
The rear ones screw into rear of the catalytic converter. Part number is 11781427884.
You don't need a special oxygen sensor socket. In fact, the special socket won't fit in the space on this car. A combination wrench works great. Be very careful not to cross the wires. Best to replace them one at a time to ensure that you don't cross any wires.
BMW's recommended replacement interval is 90k miles. If your oxygen sensors have over 100k miles on them and the computer is storing a code "catalyst below specifications", you need oxygen sensors. I always replace all four at once. I trust NGK (I think they label their sensors NTK) or Denso for oxygen sensors, and I don't use the generic sensors that you have to crimp onto your electrical leads.