Lambda probe sockets are available, they're a deep hex socket with a cutout along the length for the wire to stick through, they have a hex at the other end so you can use a ratchet or spanner on them. In the past I've cut the wires off and just used a normal socket. Been a long time since I've changed a probe on a P38 though, and don't remember if there'd be space for any of these options on a P38.
I suppose if heat is an advantage there's an easy way to heat it, run the engine. It'll heat the probe up as much as the surrounding area but it would be difficult to prevent heating the probe if you're trying to heat the boss anyway?
Once when trying to undo a probe from a P38 the lambda boss twisted out of the exhaust but I reckon whoever installed it had somehow cross threaded it, it was blowing and soot etc had probably made removal even more difficult by packing out the crossed threads. I know I've done some on P38's that have come out very easy, others very tight, the cross threaded one wasn't going to come out. I've also known them strip threads in the boss on removal.
I've made various tools for removing probes on various vehicles over the years, e.g. for the XJ8 Jags I made my own crow's foot by cutting a slit out of a ring spanner, cut the spanner short (close to the ring end but longer than a crow's foot) and welded a socket to the cut end to allow use with an extension bar and breaker bar / ratchet. Not as strong as a proper crow's foot (the ring spanner isn't as thick as a crows foot and loses strength with the slit cut through it) so has the disadvantage that if the probe is really tight the ring end could open up and slip.. but with the advantages (for the XJ8) of having a longer length from the probe to the bar and having the socket at an angle to the ring end.. perfect for using a long extension and ratchet/bar working from above in the engine bay, there wouldn't be space to lever near the probe itself or working from below and a conventional crows foot would see the extension bar foul the engine or engine bay components working from above but the DIY tool makes it easy to undo the probe working from above.