Center of pipe

 

This looks like the same drawing that Racepak uses.

What I did when the headers were off, is to put the probe for the corresponding cylinder in the tube and place it exactly where you need it, you can see it and measure it this way. Then tighten the feral down, it will keep them all in place after you take them out. They all need to be placed in the tubes in exactly the same place so the probes have identical exposure to the gases. Your turbo setup is on the right.

Exhaust Gas Technologies Inc. - Motorsports Catalog

 

Depth does matter because the exhaust in the tubes does have a temperature gradient and is cooler near the wall of the tube. This is even more important close to the head flange because there is still a developed flame pattern VS further downstream where the exhaust gases have had a chance to mix and become more homogenous.

I have probes in all 8 cylinder exhaust tubes on my car. I installed them to the same depth as carefully as could be done, all on the bottom of each tube. Still, after a 1/4 mile run I see a consistent variation between hot/cold cylinders of up to 150deg F which bothers me. One possibility that seems reasonable Is that some cylinders are simply "stronger" than others. But I also don't discount the possibility that I'm reading a different section of the exiting flame front. This could be caused by the variation of bends/straight sections between the different tubes. In other words, one tube has a short radius bend installed at the flange on 1 tube while another tube has a short straight section that feeds a long radius bend tube.

 

Those pictures look a lot like what Holley says about an 02 sensor install. On an N/A combo they have the 02 about 1/2 ish + into the tube. On a boosted combo they recommend an extended bung to keep just the tip extended into the tube.