can an O2 sensor be leaking itself? when holding my fingers around the sensor where the wiring starts, it felt like exhaust came up from the housing

The answer is YES.

Everything in your car can break apart, broken, worn, and damaged.

Even for new parts sometimes you will get a defective item.

For leaking parts, you can check with bubble:

• Use water + detergent (this should be enough for making bubble)
• splash or spray the suspected area or
• use a sponge, dip the sponge into the detergent solution, and use the sponge to check.

Source

Edit:

Additional information on HOW to spray it or use the sponge for the O2 sensor housing:

• Do not spray it after the engine hot (after running around etc)
• Spray it when the engine is on first turns on / cold start. (meaning when the engine is cool, not cold - cold obviously your engine wouldn't start)
• Use extra precaution to check if glowing red then it's not good
• Use extra precaution
• Do not spray it too much

Another one using vac shop to blow from the exhaust to check without turn on the engine: Youtube Link (i do not recommend this way)

I would use a couple of adaptors to connect the sensor to an airline and pressure test it that way - easy to check, no burnt fingers and plenty of room.

But if working in tight spaces is your thing there are other possibilities.