I haven't seen any comprehensive writeup on installing an EGT probe install so I hope to consolidate the info here for other people. The process I used was to put it in the driver's side manifold. Also, the bung for the probe (Autometer) was a 1/8-NPT thread so if yours is different you'll have to adjust accordingly.

Tools:
12mm socket wrench
14mm socket wrench
flat screwdriver
multiple drills, up to 11/32" diameter
1/8-NPT tap
drill press (helpful, not necessary) or drill
hole saw

Procedure:

Let the car cool off first. Duh.

1. Get under the car and remove the splash guard. Theres a few pop clips and 5 bolts. I jacked up the driver's side corner to do it but if you're skinny you might not have to.

2. Find the heat shield for the manifold. Its shown in the following picture (for reference, the wheel is above the picture, and you can see the oil filter at the bottom right):

3. Remove three bolts from the heat shield and it will come apart in two halves, exposing the cast iron manifold, seen here:

4. Mark which side you are going to drill (IMPORTANT! Drill the wrong side and you'll unnecessarily make your job much harder!). Most people use the round flat dot in the middle. Then remove the manifold by removing 3 nuts from the top and two bolts at the bottom. There are gaskets at the top and the bottom so save them if you're going to re-use them or toss them if you're replacing them. I reused mine.

Here's the piece on my workbench. The casting dot is easier to see in this picture:

5. Now drill and tap the hole. I clamped the piece down on the drill press just to make sure it didn't wiggle but you probably don't need to go to such pains.

First drill a small pilot hole, then ream it out with a larger bit. The correct hole to tap for 1/8-NPT is 11/32 so that should be your final size. Use a slow spindle speed and back the drill out frequently, using plenty of cutting oil. Cast iron is brittle and you do NOT want to crack it.

For illustration:

6. Thread the hole completely. Taps are tapered so you can get them into your hole so you will have to cut so the top of the tap's threading is well into the hole. When cutting the threads go slowly and back it out frequently to clear the shavings. I used silicone oil on the tap, which made it pretty easy.

7. Once everything is done (check your work by attempting to screw in your bung) clean it all up. Metal shavings left behind will get sucked into your turbo and that is bad bad bad. Like...new turbo bad.

8. Use some anti-seize goop and screw in your bung. If you want to make your life easy, tighten it so that the set-screw for the probe will be facing the ground. Then stick your probe into the bung and position it where you want it. Make a mark on the probe so you can put it in the right spot later.

9. Clean up your gaskets if you're reusing them. I used WD-40 and a little 00 steel wool. Then put the whole thing back together. You'll have to thread the nuts partially at the top and then put the bolts in at the bottom before you tighten things down.

The nuts at the top are 28.9 ft-lb and the bolts at the bottom are 26 ft-lb. Tighten evenly around the parts.

10. Line up the heat sheild over the bung and mark the heat shield. Then use a hole saw and cut enough so that you can get at your bung. Then you can put the heat sheild back together. IMPORTANT: the bolts are painfully easy to cross-thread so be careful! The bolts should be 13.7 ft-lb.

11. With the heat shield in place, put your probe back into the bung up to the mark you made previously, and tighten the set screw. Gather any extra wire off to the side and tie it down with zip ties or something. Replace the splash guard.

NOTE: If you're worried about leaks, you can check before you replace the heat shield by rubbing a little soapy water around the joints. Fire up the car and if you see any bubbling then you have a leak.

That's it! All in all a pretty easy mod as long as you have the patience not to rush it. If I've forgotten anything please let me know and I'll try to fix it.