O'Connor, a nominee of President Ronald Reagan who became the court's swing vote until she retired from the bench in 2006, broke with Republicans who say they plan to block Obama's nominee, and want his successor to name the next justice.
"I don't agree (with Republicans)," O'Connor said in an interview with Phoenix-based Fox affiliate KSAZ
. "We need somebody in there to do the job and just get on with it."
She noted that it's unusual to for a Supreme Court opening to exist in an election year, saying that the proximity to the presidential race "creates too much talk around the thing that isn't necessary."
She said Obama should name a replacement for Scalia, an influential conservative member of the nation's high court who was found dead Saturday at age 79.
"Well you just have to pick the best person you can under these circumstances, as the appointing authority must do. And it's an important position and one we care about as a nation, as a people," O'Connor said. "And I wish the president well as he makes choices and goes down that line -- it's hard."
Sitting Supreme Court Justice Stephen Breyer, speaking at Yale University Wednesday, did not comment on Scalia's replacement, but did open the event with a call for a moment of silence.
"I'd like to have maybe 15 seconds of silence for Justice Scalia who was a good friend, and really a life force at the court. It's going to be a grayer place without him," Breyer said, adding he was "a decent man who has made an enormous impression. We're all sad at this moment."
At CNN's Republican presidential town hall in South Carolina, Florida Sen. Marco Rubio said he respected O'Connor but thought the next administration should choose Scalia's replacement.
"The Supreme Court can function with eight justices," he said. "This is going to be an issue in the campaign."
Rival GOP candidate Ted Cruz said nominating someone now wouldn't "be fair to the nominee."
"I think that hearing would end up very politicized," the Texas senator said. "I think this is a matter of policy -- that during a lame-duck period, we should not be confirming a Supreme Court nomination."