If you remove the NTC sensor without draining the coolant, then you'll probably lose a litre or so of fluid. However, if you're quick with your finger and then the new sensor you might get away with just a little spill!
On a cold engine, the coolant won't be under pressure and so shouldn't spew anywhere

If you want to minimise mess, then you could drain off a couple of litres to be safe.
However, if the cooling system's not been serviced for a while then now might be a good time!
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