It is drilled right through but not out the other end.
This is the only way to get an accurate reading of the exhaust temp.
I think some people do weld it, but the other way is that the Greddy EGT comes with 2 bolts that hold the EGT Probe in place. There are other EGT's that come with a clamp instead of bolts.

 

Here's a how to on an EGT gauge:
http://www.myzero.com/gauges/egt.html
It's for DSM's, but I'm sure most of it should be the same.
I think on Honda's, the cylinder you tap into is different.

 

thanks for the site.. do u guyz have pics of ur egt setups?? im confused it doesnt say how u block the hole off. shouldnt it leak exhuast?

 

I hope you are only using that AF meter as an idiot light when things go REALLY wrong.

EGT should be your next purchase and if you have an adjustable FPR ditch the AFR meter idiot light and get a fuel pressure gauge.