I driiled my EGT thermocouple port just as Joseph Donnely recommends. I plugged the exhaust with duct tape, made sure the engine was cool, and laid everything out in advance. Then I drilled the whole with the engine running as was suggested by the guys at Diesel Power Products. (As I am learning, this duct tape/backpressure trick is not harmful on diesels the way it can be on a gas motor - it's just like an exhaust brake. )
It sounds hokey, but it works great. The chips run right up the drill bit and never get down in the hole. Same is true for the tap. Just make sure to wear long sleeves, gloves and GOOD eye protection, because the hot shavings will come spraying back at you! And get it done before it gets too hot, or the tap will want to stick.
By the way, to avoid drilling another hole, I used a "boost bolt" from Heath Diesel Products which replaces an intake manifold bolt with a hollow one with a tubing fitting on the end for the boost gauge lead. About $14. 00, and well worth it. It goes in in about 30 seconds.
Greg