My car has never had a lambda sensor (I say never - by the time I bought it there wasn't one there) but there is a fancy fancy wide band lambda sensor included with the kit. So I'd like to fit it if possible to take advantage of the oxygen reading in tuning the car. This is what came

Here is the sensor.




My question is - as I've not had one installed before I'm going to need to weld something into the exhaust. The sensor part will then screw into that. However I've not found anywhere that talks about what is needed. In the photos above there is that threaded collar that the sensor screws into. However if I welded that in the sensor wouldn't be exposed to the gases.
I'm guessing I either need to get a nut of the right diameter and weld that into the exhaust OR chop off part of the threaded tube and weld that in - allowing the sensor to poke into the airstream. Can anyone confirm I'm on the right lines and/or point me to online advice on this - whenever I search I keep finding stuff about replacing the sensor - which all assumes you've already got the threaded part set into your exhaust
With regard to where to fit it I'm thinking onto one of the 'stems' leading into the muffler - that will cover 3 header pipes output so should give a reasonable reading.
Thanks in advance for any help you are able to give
Oh and here's a pic of the rest of the sensor kit



