You can weld a threaded bushing, sometimes called a bung, to the down pipe. Then you can thread in a pyro thermocouple probe into this threaded bung. Most of the time people do this when they want to monitor post (after) turbo temps. This is seldom done though becasue it will not give you the reading that really should be monitored.
Weld Bung Part # R685
Another option if you don't want to weld a bung to your downpipe is to use a clamp style thermocouple.
Clamp Thermocouple ISSPRO R650A-HT
About 98% of our customers drill and tap the exhaust manifold for their thermocouple placement.
This is a better option in my opinion. You can always remove the probe at a later time and just plug the hole with a pipe plug.