I cant say i`ve done it myself but there have been many threads on this board regarding lambda sensors and their replacement.
BTW you do not need to use the Alfa part, a standard replacement from a shop will be half the price. Again, someone will tell you more about which one to buy or you could search the site for old threads.
I only mention all this so you will wait for a good answer and not rush to a garage to do the work for you!
lambda sensors are very easy to replace and shouldnt cost any more than £70 tops.lucas do an alternative to alfa but beware some cheaper sensors come with wires that need soldering together using your existing plug there ok but prone to coming apart..oxygen sensor is the correct name for them,lambda is only a calculation of the air fuel ratio which should be 14/1 or lambda 1 as it is known.
Took a quick look under the car and saw it's easy to do, my alfa dealer wants 150 euro for a new one but I can get a used one for 25 euro, also, the ones that alfa provide have a 5 digit code, 3 letters, I think LSH or something and 2 n°, the old one is 18 and the later one is 24, my dealer says not to use the 18 like I have but the 24 as it will be good for another 50.000 - 100.000 k
I like to replace as much as possible with original Alfa parts even though their are costing me a bit more especially when it are parts that optimize your engine, only some mechanical parts I replace with not Alfa parts