Just wondering where in the exhaust does the bung get welded in

 

If you are just installing a narrowband AFR gauge, then you can just take the signal input to the gauge from your existing lambda sensor. - No need to fit any more hardware, other than the gauge itself and relevant wiring.

If you're installing a complete wideband kit (with it's own dedicated sensor) then i'd recommend fitting in in the top of the downpipe, behind the turbo.
Have a look at this document, for things to consider when choosing the location for a lambda sensor - http://wbo2.com/lsu/lsuinstal.pdf

 

Before placing it make sure it going to an easy accessible place so you can remove it for regular calibration. Wideband sensors have to be placed post turbo and pre cat so anywhere in between with easy access is the place to fit it.