Is it a wideband gauge, and does it have a heated sensor?
No heated sensor - usually needs to be within a few inches of the collector, or in the collector fitting. This because it needs the exhaust heat to read properly.
Heated sensor - anywhere between the collector and the muffler or crossover. Exact location is more flexible, but you don’t want leaks in the pipes in front of it to screw up the reading.
All O2 sensors - bung should be pointed straight up or within about 30-45 degrees of straight up. This ensures residual moisture from the cooling exhaust pipe does not collect on and contaminate the sensor.
Make sure everything in the wideband gauge wiring is grounded to a single point, which is then grounded to the engine and body. The gauge works by reading very small voltage variations at the sensor, so you do not want any difference in ground potential to throw it off.