Never used this, but here are my thoughts. From what I see, it is a passive sensor (without the need of power). It has voltage output proportional and quite linear to volume percentage of O2.
1. You can directly connect this sensor output to ADC input and take samples.
2. It seems it outputs a bit less then 1mV per 1% of O2, so lets say working range 0 - 100mV.
3. I would say you need at least 1mV ADC resolution. It means, that for example, Arduino UNO default configuration is not good enough (10bit ADC, 5V reference, resolution = ~4.9mV)
4. If you want to use UNO, your best bet is to configure it to use internal 1.1V reference, then the resolution is ~1mV. Might be good enough.
5. If you plan to use different MCU which has 12 or 16 bit ADC, that would be good. Just choose the lowest reference voltage possible.
6. When you connect sensor to MCU, use short and possibly shielded wire (shield connected to Arduino ground) to avoid noise, because sensor signal is quite small and high impedance, so it is easy for external electrical noises to mess up the readings.
7. If it is not possible to calibrate each sensor with known O2 concentrations, then just calculate the ADC raw value per O2 percentage based on reading at ambient air. For example, take raw ADC value at ambient. Let say it is 15. So it means 20/15 (~20% air O2 in most places) = 1.33% O2 per ADC step. If then your ADC reads value 25, you multiply by 1.33 and get 33.3% O2.
8. You can take multiple samples and average them - you will get more effective resolution.
9. Don't expect to get very accurate readings, but I guess 1-2% is good enough for this application.
Good luck