You can probably do either. The first time I installed my EGT probe, I paid somebody $15 to weld the bung in. When I got the turbo manifold, I paid someone to tap the manifold for the probe . The probe probably needs an 1/8" NPT tap. They are pretty cheap. You could do it yourself for cheap.

Corbin
'95 ESI-T
HRC + FMIC
http://members.nbci.com/cbehnken/

Corbin
'97 GSX dressed like a '95 ESi