Yes shavings will but a majority of what you drill will fall down. I double and triple checked with a magnet and paperclip...
Install in the drivers side manifold, just before the bend. You want the temperature when it leaves the motor, not after the turbo.
This should answer any questions:
Gauge Installations at DieselManor- 2003-2007 6.0L Powerstroke
Some do's and don'ts:
-don't run the engine while drilling or tapping
-Use a magnet and a vacuum to get the shavings out
-When threading, go slow back it out thread it back. Use threading oil if you wish or any oil.