On the test pipe if you have one or you could have it installed on the inlet piping of the cat converter.
I marked where i wanted to have the bung welded on to the test pipe. Then removed the test pipe and drilled the hole for the sensor and took it to a muffler shop and had them weld the bung on. A lot easier to remove the test pipe to do this than to remove the down pipe and safer than having someone welding under the hood of the car.