It goes in the plenum if not as close to the plenum as possible, tap a hole in the plenum while its off the car so no shavings/debris get into the engine when you start it, or buy a "socket" which comes in ally stainless or mild steel with the desired thread already taped into it and you simply weld it into the cooler pipe as close to the plenum as possible.
You can get away without running one for a while, it will just run rich as it will think the temp is -20 which will add more fuel than it would if it was at 30
But for fuel consumption and best power get one in there somewhere.
Good luck.
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