Oxygen sensor locations?

There is one right before the catalytic converter and one after the catalytic converter.

It is on the exhaust pipe of engine.

Yes, all four of them.

Since no one else is answering, I'll give it a stab. The way I understand it, Bank 1 is the passenger side and Bank 2 is the driver's side on a forward facing engine. The codes you got are for Bank 1 Sensor 1(P0135) and Bank 2 Sensor 2(P0161). The codes are "heater short or open" and "heater circuit fault". So Bank 1 Sensor 1 is the passenger side sensor before the cat and the other sensor would be driver's side after the cat. You didn't say which engine you have, 5.0 or 4.0. Sensor 1 on both sides is the sensor that gives information to the computer to control air fuel mixture by controlling the fuel injectors pulse width. Sensor 2 is after cat and is a catalyst monitor.
I would check the wiring going to the sensors. I've seen sensor wiring heated up to where it was brittle and fall apart when you touch it. It seems funny that both sensors, on opposite sides and one forward the other after cat would go bad at the same time. The sensors could be bad, but again, I would check the wiring very closely. Do this when the engine is cold.

It will be located on the side of the exhause system (before the exhause). Basically, it just unbolts and the new one screws in. NOTE: Make sure to get some anti seize and put it on the threads of the new sensor. If you don't, you will have a really hard time removeing it if you need to replace it again in the future.

Let me know if you have other questions.

Joe

The Heated Oxygen Sensor #1 is located on exhaust pipe of engine.

The Heated Oxygen Sensor #2 is located on exhaust pipe of engine.

The 02 sensors are in the exhaust, not sure if I have a picture?

Well I think the coolant leak is the heater control valve. This valve is what controls how much hot coolant gets to the heater core thus controling the temp. See pic below if that is what you are talking about then simply buy a new one (cost about 20) with some antifreeze and change it top the coolant back up and your done. Now as for the O2 sensors you have 4 two in or near the exhaust manifolds and 2 underneith the truck after the cats. The O2 sensor read exhaust temp thus helping with how much fuel the engine gets.