Use a small MIG welder. Try not to leave any holes or the tube will crack from vibration.
FYI, you don't need to add a bung for a WB O2. Put it in the stock location and you can Datalog with it. You can run the bike with it as well. It should have come with a NB emulator.
If you are looking to put a bung in the front header and tune with that be aware it's slightly different than reading from the rear.