This is the location for thermocouple placement on a 2nd Gen Dodge 5.9L Cummins.  Make an impression with a center punch where the X is in this photo.  You should be drilling in the center of the rear exhaust manifold port (for cylinders 4-6).  Start with a small pilot hole and work your way up to a size "R" drill bit (0.339") increasing 1 drill bit size at a time. This will cause all shavings to remain small and dust-like.  While drilling and tapping have a helper hold a vacuum cleaner next to the hole.  There is no need to coat your bits with grease or lube.  You want all of the shavings to remain dry so that they will come out without sticking when you vacuum out the hole.  Using a 1/8" NPT tap, tap the hole.  Apply a small amount of anti-seize lubricant to the threads of the thermocouple fitting and tighten.  Insert the probe with its nut and ferrule.  You want the tip of the probe to be in the center of the exhaust flow. 

Tech Tip: Do not perform this while the engine is running. Some company’s recommend this practice, as it is their belief that the exhaust pressure going through the manifold will push the shavings out through the hole you are drilling. We do not subscribe to this belief. Working on a running engine greatly increases your chance of injury. Also, while uncommon, if your drill bit happens to break off inside the manifold, it has no place to go but through the turbo. If the engine were not running you can always take whatever action necessary to remove the broken piece before you start the engine. The practice of coating your drill bits with grease is also a very bad idea. The flutes of a drill bit are designed to remove chips outward. By loading these flutes up with grease, all you would be doing is making it more difficult for them to perform as designed. Also, grease will cause some of the shavings to stick on the inside of the manifold, making it difficult to remove later with a vacuum cleaner.