You can test that the heater is not open circuit with a multimeter, as Jocko says above, but it's not a reliable way to test the operation of the sensor, as the output fluctuates rapidly. There are also several different types of sensor, with different output characteristics.
OBD is the way to go, look for the repetitive fluctuating output from the pre-cat sensor on live data, once it's hot. Post-cat sensor should be much steadier, indicating that the cat is doing it's job. If you are getting that, the sensors are most likely working. You can also see the fuel trims being applied by the ECU from the sensor feedback.
The heater element is tiny, so doesn't need a great deal of power.