Would you think I should try (cleaning or changing) the o2 sensor before the catalytic converter or both O2 sensor?

 

The sensor before the cat is more critical.
No problem with cleaning it and refitting to see the outcome.
If it looks very old then a new one would pay off for ongoing reliability.

 

It has both in separate passages. Oil comes in the top and drains out the bottom. Coolant comes in and out the sides of the center section. Oil both cools and lubricates the bearings. Coolant does not mix with oil of course.

If you have blue oily smoke then that can be caused by oil getting past the turbo seals and into either the engine or the exhaust.

When your car smokes, what does it smell like? Coolant? Oil? Fuel?