I have a broken oil pressure sensor on my one 1998 grand Cherokee Laredo with a 4.0L. My question is how do you remove it? Do you have to completely remove that hex bolt that goes directly into the engine or does that metal coned-shaped object that goes into the hex bolt come out?

The whole sensor will unscrew in one piece. Once you get the replacement you will see. Its very simple and needs no special tools.