Any Indie speed shop should have the bungs in stock and ready to be welded on. There are kits that will allow you to clamp a bung on the pipe over a previously drilled hole but Mig or Tig does the installation job far more securely and permanently.
As for the bung itself, you can get a closer and tighter pass on the weld if you take the bung and shape the end to be welded on by dishing it slightly at the points where it hits the tube wall. That brings the rest of the bung in closer and produces a neater cleaner pass. A half moon coarse tooth rasp or machinists file will do the shaping job fairly quickly and let you "tune" the shape to get it as tight as desired.
On the actual location for the bung, if you think of the exhaust tube in terms of the face of a clock, then either between 10 to 11.30, or 12.30 -2.00 will work the best; the choice itself does depend on space as you don't want the sensor body banging up against anything else down there and it has to have enough room that you can unscrew it from the bung to replace it if needed. The bung has to be above the 9 -3 datum line because that allows any condensation that might form in the exhaust pipe to succumb to gravity land run off. Apparently it also acts as a deterrent to carbon build up as well although I am not sure about that at all. The instructions for the FI unit ought to include a guide or material on the where of where that bung needs to be situated.
For the hole, one of those step cutters does a nice job and avoids having to rassle the pipe like can happen using a standard drill bit.
If your kit does not come with an included O-2 sensor then you may have to hit the parts store and what they have may come with a different plug in than what the kit harness has. Weather pack connections are easy to assemble but large and clunky. Deutsch connectors are smaller and more compact but need special pliers to do the crimps. The latest generation of connectors are the Delphi Metri Pack units and while the pins and sockets can be obtained it is the bare housings that are difficult to find. All this nuisance and hassle is mostly due to some crack brained nonsense that if they can be had commercially then everyone is going to go and buy them so they can fiddle with the stock computer harnesses?!@?! Tain't that easy at-all. Where I am headed with this is that you may have to do some plug connection swapping to get the sensor to talk to the harness. A bit of caution here, don't go solder, it can mess up the ability of the connector to socket into the housing and can also change the resistance of the circuit which can make the computer unhappy. The factories and the aftermarket pretty much all go crimp; stick with the program.
Nick