After remove the old filter, the old O-ring stuck in.
Should I break it down in order to put in a new filter?
Or remove the O-ring from the new filter?

Use a large, flat blade screwdriver and carefully pry it out of the transmission housing, being careful not to score the walls. Then, install new transmission filter and O-ring, after coating the O-ring with ATF. The blade of the screwdriver will bite into the inside of the O-ring; the fulcrum is the edge of the housing.

Thank you TxGreaseMonkey
I removed the O ring from the new filter. Quick and easy. Hope it will work for me.