""So where should the sensor be installed?""

Exhaust leaks will cause issues getting a solid reading. So to keep that issue to a minimum, locate the sensors as far forward on the exhaust system as you can.
I did not want to drill into my TTi headers (wish I would have ordered them with the bungs installed b4 coating), so I installed them into the header reducers between 10:00 and 2:00.
Before I drilled mine, I took one of the sensors and moved it around the reducer to make sure that I had the clearance around the under body and trans. Then I marked the spot on each reducer. While you are doing this, you might want to get a game plan together for the harness routing. I ran both of my sensors up through the rubber boot that is around the trans linkage to the console. Then under the console/carpet to the firewall. Then I "tied-up" computer modules under the dash so that they could get some air when they warm up.