A method of assembling a heated electrochemical sensor (24) for use in sensing exhaust gases in an internal combustion engine (16). A tubular electrolyte member (72) having a closed end (74) is insulated from a metal shell (30). The external surface (80) and internal surface (82) of the electrolyte member (72) are coated with a conductive material. A sleeve (96) retains a terminal member (120) having first (142) and second (144) contact rings located on shoulders (126) and (140). Terminals (164 and 164') are located in slots (160 and 162) in bore (138) on terminal member (120). A tubular heater (92) has an end (93) inserted in bore (138) until contact surfaces (161 and 163) engage terminals (164 and 164'). A coil spring (146) is placed on tubular heater (92) and a wave or washer spring (148) is placed adjacent contact ring (142). Sleeve (96) and shell (30) are brought together and spot welded (108). Thereafter, a sealed joint is produced to complete the manufacture of the heated electrochemical sensor (24).