I've worked with O2 cells for several years in a research capacity. I wouldn't call myself an expert by any means, but I've had enough experience with a variety of different types of oxygen sensing technologies. The type of cells used in the SCUBA industries are the galvanic cell type. These sensors do act a lot like a battery. They use a semi-permeable membrane which oxygen diffuses across, creating a chemical reaction and thus generating a measureable voltage change (all related to the concentration of oxygen).
PacketSniffer is right on the money with everything he said. Storing O2 is a bit of a crap shoot. There's no point in going to the bother of "storing" a sensor for periods much shorter than a couple weeks.
My best advice:
1.) Keep them dry and away from high humidity.
2.) Keep them away from excessive heat. (ie. don't leave them in the sun or in the trunk of your car on a hot day.)
3.) For extended periods of storage; zip lock bag with dry air, in the fridge.
Putting O2 sensors in the fridge for extended periods of storage has a couple advantages. It keeps them dry, as the cool air lowers the dew point and keeps the gas drier. The cooler temperatures slows down the chemical reaction within the cell, and extends the lifetime of the cell.
Although filling the bag with nitrogen is a good idea in theory, it may not be worth the practice. O2 sensors are partial pressure devices, and as such are extremely sensitive to pressure changes. You can very easily damage an O2 cell by pressurizing or depressurizing it. That's why I might lean toward not putting an O2 sensor in a bottle as opposed to a zip lock bag. If you were to drop the sensor in a sealed bottle, and then put in the fridge, the pressure drop inside bottle may actually damage the membrane of the cell.
Having said all of the above, PacketSniffer is absolutely right. You can do everything right, and still have a dud cell that only lasts a year or less. Doing the above can't hurt though.
Hope that helps.
Max
