It's a tough call, put it at the collector so you sample all cylinders or at a single pipe higher up. The mass-flo system uses heated sensors so this helps with the distance somewhat. The sensor element also presents a greater restriction to the single pipe than the collector location.
Anyhow, input from others has stated that the system works fine in either position. Kirkham welded the bungs in the sidepipe collectors for me and Joe stated that it's the best place to put them in their experiance.
I'm getting pretty close to having the car finished now so I'll know soon...