I have the same gauges and pod as you there.
I spliced into the rear O2 sensor on the ECU.
You have to install the EGT probe that comes with the EGT gauge.
You can drill and tap it directly into the cast manifold before the up pipe (the positioning of this is the source of much debate, but I went with the advice of Turbo XS people and have had no troubles!)
They look pretty sweet when you are done. The hardest bit is getting all the wiring into the dash from the bottom of the the pillar pod! you have 12v ignition, gnd, interior illumination, AF signal wire, EGT probe wire pair and the boost tube - IT SUCKS!
Really have to be careful of the boost gauge tubing. If I had to do it again I would still do a pillar pod, but go with elec gauges like the Defi's with a single control unit.
EDIT: Required equipment to do this is a straightened coat hanger!!!