Its a very small leak I notice when changing my oil. I tried to turn out with an adjustable wrench, but it wouldnt budge.

It should turn...there's a seal under the nut, it may need to be replaced.

Some times the sensor leaks out the middle where the wires go. A new sensor will come with a new gasket under the nut or some people replace the sensor with a m20 x 1.5 mm bolt and jumper the connector together to eliminate the warning light. Good thing you removed your cats as the driver side cat in a dual cat car gets in the way on removal and installing a new sensor.

cool, thanks for the info.