No. CHanging the sensors is all you do, once the ECU starts to get good data, the codes will "time out". Give it a chance to go thru a few cycles.
And if the CEL is on, make sure NEW codes have not come up and that the existing codes are gone.

Keep in mind that O2 sensors can cause a CEL and code when:

1) The O2 sensor(s) is bad.
2) The O2 sensor is fine, and is reporting a real issue (like a real lean burn, a rich burn, a cracked exhaust, a secondary air pump that wont shut off, a bad misfire, a bad injector, etc).

THe point is, is the O2 sensor bad and giving bad data, or is the sensor good and reporting a real issue? Just cause you have O2 sensor codes does NOT mean the sensor is bad. And four bad at the same time? That just does not happen.

What codes is it giving you?

MODERATOR NOTE: Thread title edited for clarity.