As what you will find searching TDR for drilling the pryo, using grease & a vacuum while drilling will result in a small number of metal flakes getting inside. I did try to put a piece of cardboard between the manifold and turbo, but was unsuccessful in getting the bottom nuts lose.
The drilling process began with dipping the drill bit into the grease tube I purchase just for it. I'd drill for a bit with the vacuum on right next to it. Every so often I would stop drilling, clean the bit, clean the manifold and then re-dip and continue with the process.
With the tap, I put grease on it, do a quarter of a turn in, then backed it off about 1/8th of a turn, then quarter turn in again and so on. After about two rotations, I'd pull it out, clean it and test fit the thermo coupler. Repeat as needed to get the desired depth of the thermo coupler.
After getting it tapped out, I took a magnet and went inside many times, only got some really small flakes (real small!) - did that many times till I was satisfied with it.
With the anti-seize, I had to clean the thrmo coupler and the new hole in the manifold. I got my starting fluid can and cleaned the thermo coupler off – using a paper towel, I sprayed it with starting fluid and cleaned the manifold.
For the IssPro Pryo gauge, it comes with it's own little box. I located it inside the cab, really close to the hole it went out of. It could have been mounted on the other side of the firewall, but the plug might have been kind of tough getting it through the hole I made in the rubber boot for all the electric wires go through.
Here is a full view of the engine compartment.