Clean, sterile, and sanitary are different things.
Clean means free of surface residue.
Sterile means completely free of microbes and spores. We don't generally worry about sterility because it's both unnecessary and impossible to achieve.
Sanitary means free of significant amounts of potentially contaminating microbes.
Wine frequently already contains wild microbes, so sanitation is often a moot point. Furthermore, wine is generally highly resistant to the effects of contaminating microbes when a good basic process is used (i.e. oxygen avoidance and sulfite). So, using an unsanitized glass to draw a sample really isn't going to be a concern most of the time.
As I mentioned, only clean surfaces can be sanitized. Residue can harbor microbes.
Measuring s.g.:
I also recommend a turkey baster, or better yet, using a vessel with a spigot.
I wouldn't recommend putting the hydrometer directly in the wine for several reasons, the most important of which is that it's difficult to read.
Regarding oxygen:
Splashing or not, if you open a vessel to take a sample, almost all the oxygen exposure will depend on the amount of headspace in the fermenter.
Cheers