It's going to be on the exhaust system somewhere. My 97 has it right in front of the motor next to the radiator coming out of the exhaust manifold. Looks like a spark plug looking thing with a single wire coming out of it.
There is an oxygen sensor right on the exhaust manifold, directly behind the radiator and fan. Follow the spark plug wires down from the top of the motor. From where those wires plug into the coils, go left (assuming you're standing in front of the car ;P). The sensor is the cigar chaped white thing that screws into the exhaust manifold with one wire coming out of it. There may be a second sensor (somewhere "under" the car), some cars have them, not sure about the SL series. Yes, the 99 Saturn SL2 DOHC does have a 2nd O2 sensor, I believe it is located under the car, mounted to the exhaust, after the caddy.
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