I think I'd mount it soon after the turbo. It'd be awful hot between the head and the turbo. This may not hurt the sensor, but why risk it? As long as it's within a couple of feet of the head (above 600F, I think), it should be fine.
One thing that the instructions for my setup clearly pointed out was to make sure the sensor was installed in such a way that and water condensate in the exhaust would NOT end up flowing into the sensor. So, this means it should be mounted pointing up and away from the exhaust pipe.
Just make sure it's before any catalytic convertors, if you're using one.
Greg