There are two types, a bullet with a rounded tip and a stinger with a wire protruding. I thought the tip should be placed as near to the centre of the exhaust pipe as possible, but was told the bullet type should extend into the pipe by around 4mm and the stinger by 2mm so that the guage can read correctly. This could explain some of the wildly high temperatures some have been reading, particularly with the types of analogue guages used on aircraft where fitting instructions aren't included.
With the screw in type you need the probe AND a weld on boss with gasket too, like this boss, click here . Some sites don't advertise the boss and I have welded the fitting with the probe directly to the pipe. This would be incorrect although I think the probe depth can be adjusted to suit.
It would seem difficult to obtain optimum probe depth with the clamp on type, perhaps this is more suited to the Rotax type pipes they're designed for

So, what guages are people using and what probes, and how deep is your probe? Is it a welded boss or clamp on type? What temperatures are you getting?