Like Steve, I am a full-fledged member of the "I have a post-turbo EGT" club. We are a card-carrying minority around here! Also like Steve, I removed my stock elbow, drilled it, and re-installed it. Unlike Steve, I purchased a spare stock elbow from a TDR member just in case I screwed it up.
If you want to drill in the manifold with it still in-place, it can certainly be done. I believe you will need a right-angle drill to do it most effectively. Someone who has done this successfully is TDR member JHardwick. He is also a machinst, so he knows how to drill holes in stuff.
As I understand it, you want to use plenty of grease or wax on the drill bit, and go slowly. When you get to where the bit is about to penetrate the manifold, start the engine and have a friend hold some rags over the tailpipe. This should slow or stop the turbo from spinning, and build up lots of back pressure in the exhaust stream. When you finally break through, the chips will come flying back out of the hole, right into your face and eyeballs if you're not wearing a face shield. If you wore eye protection, just shut the truck off and tap the hole (again, lots of grease or, even better, wax on the tap), install the thermocouple, and you're all set.
If you failed to wear eye protection, ask the assistant who was holding the rags over the tailpipe to drive you to the hospital to have the iron removed from your eyes. :-laf