Using a 1/8" NPT tap, tap the hole.  Apply a small amount of anti-seize lubricant to the threads of the fitting and tighten.  Insert the probe with its nut and ferrule.  You want the tip of the probe to be in the center of the exhaust flow.  Usually this means that it will need to be inserted 1 inch past the threads that you tapped. Tighten the nut no more than 1 full turn past finger tight.  Connect the thermocouple wires to the lead wire using the supplied nuts and heat protective sleeves.  You will be connecting the thermocouple to the end of the lead wire that has a long red lead and a shorter yellow lead.  Weatherpack connectors simply plug in to one another.