To be certain, you'll need to consult a repair manual specific to your 2001 Ford Escape's year, make, model, and engine/transmission combination. A Chilton's or Haynes manual, or an online service repair manual (like AllDataDIY or Mitchell 1), will have diagrams and detailed instructions to help you locate it precisely. Searching online for "[your specific transmission type] OSS sensor location" might also yield helpful images.
Remember to be careful when working around the transmission, as it contains hot fluids and moving parts.