I've got it on a long runner and about an inch from the head flange. You drill a 3/16 hole in the header then stick the probe in the hole and it has a radiator like clamp. Then run the probe line through the firewall and I've got the digital read out sitting on the hump. You can unplug it and take it out at any time and just put a sheet metal screw in the hole.
Here's a link to some EGT gauges.
http://www.biondoracing.com/DataRecorders.shtml