Usually on the cat with a wire on it.
Yep its between the cat and the down pipe from the manifold, sticking out of the exhaust at a 45 degree angle with a wire connected to it. All you need is firstly to get under the car (safely!) and a 17 spanner...don't for Gods sake use a shifting spanner! Remember exhausts go through hideous temperature changes so the metal is fairly brittle...if you mess up the thread etc...well...lets just say it will start to get expensive. Unplug the wire, unscrew the sensor from the pipe and swap it for a new one. If you have an easy way to get under your car, it might be worth just taking it out and giving it a very good clean, replace it and test your MPG for a few days. There are some posts on this forum from members who have had very positive results from replacing it. If I recall they are only around £30...hardly breaks the bank.
But going back to your manifold leak...do you know where it is and how bad it is? Possibly just needs a new seal (under £10 from a VW dealer), or is it cracked?
Thanks for the VERY detailed explanation

Yeah, it is about £30, so worth a try. Cheers