thats because the o2 sensor runs in open loop mode when the car is cold. when the car warms up or has been running for about 2 or more minutes, if there is a fault detected in the o2 sensor circuit, it sets a code. the o2 sensor only works when the car is warm(when the exhaust pipes are about 600 degrees.) it reacts with the oxygen content in the exhaust to produce a voltage output which is sent to the PCM to help determine fuel delivery. Are you sure it is the o2 sensor? is the "Service Engine Soon" light on? if so, it may not be the o2 sensor unless you have already scanned it for the codes. please post back with more info.
P.S. if you don't know how to scan the codes, since it is a 99 you can take it to the GM dealer and they will scan it for you or since your camaro is equipped with the OBD 2(on board diognastic system 2), you can purchase a scanner for it at any parts store just about.