While #O_2# can dissolve in blood plasma (a very small percentage), most of the #O_2# in blood is transported bound to a protein carried in Red Blood Cells or erythrocytes.
This protein, haemoglobin, binds to #O_2# at the time of oxygen transfer in the lungs and transports the #O_2# to the tissues and cells where it is released for metabolic activities.
#CO_2#, on the other hand, is transported mainly by diffusing into the Red Blood Cells or erythrocytes where it forms carbonic acid which, being unstable, dissociates into carbonate ions and hydrogen ions.
Some #CO_2# is also transported by direct dissolution in blood plasma and by binding to haemoglobin, but that is a small percentage.