First off, Latin, it's doubtful that your O2 sensor is bad. The SES light will trip often after the addition of an intake. The MAF isn't used to the increased air and throws a failure. If Autozone didn't reset the code for you, just disconnect your negative battery cable for about 15 minutes to reset it. Sometimes it will also reset itself after driving around with the new intake for a little while.
I'm assuming you have an I-4. Sensor Bank one is in the front of your engine by the exhaust manifold. Sensor bank two is located back in your dump pipe by the cat. It's unlikely that either one is damaged. Try resetting the SES light first and see if it reoccurs.
Chip
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