drhoades,
I did my EGT probe without removing the turbo. I was worried about the metal shavings falling down inside at first but after I talked to a couple of guys who did it that way I was convinced that it should be okay.
What I did to make sure that nothing got into the manifold was used a shop vac while drilling, greased the drill bit, and afterwards I put a small magnet down into the manifold to pull out anything that went in.
There were filings that got down in there but after 4 or 5 times with the magnet and a more shop vac I didn't find anymore.
Don't over torque the probe in the manifold cause this can cause it to crack. Take your time with the drill start small and work your way up in size and take your time with the tap. Clean out with a magnet that will fit inside the hole.
Remember to use anti-sieze compound on the threads of the probe where it goes into the manifold.
If you are real worried about the filings remove the turbo.
Good luck.