At what depth should I install the EGT probe?

Typically it is the center of the exhaust stream. This is not necessarily the center of the runner through the exhaust manifold or the header tube. The exhaust stream is dictated by flow rate, bend radius, the angle of the valve in relationship to the exhaust port, port configurations and other factors. Our probes have the high quality 316 SS compression fittings making adjustment of the probe into the exhaust stream "sweet spot" easily and quickly done with the turn of a wrench.  Check them out at our on line store www.tscsensors.com