The prevailing opinion on EGT probe seems to be to drill and tap the driver's side exhaust manifold just before it goes into the up pipe to the turbo. I just did this to mine a few days ago. There is a write up on drilling it, using small to large drill bits to make small shavings, etc that is posted or linked on here somewhere... I'm not real computer litirate or I'd post the link... do a search, or someone will post it, I'm sure.
As to how hard it is to do, it's just a matter of getting under there to drill it out... and tap it... I lucked out, I used my buddys garage/lift/tools, and it went really easy... mostly! Almost striped out the nice new threads I'd just tapped in the manifold...
Good luck!