I know a few folk have a third lambda sensor fitted, so I'm looking for a suggestions on the best way to do it.

I've got a 0V/1V sensor and suitable sensor boss. My cunning plan is to disconnect the engine ECU, gearbox ECU and temperature senders (the one to the BECM), clean up the front of the passenger downpipe where I can get to it easily just above the existing lambda, drill a big hole, and weld the boss in with the MIG, without taking the Y-pipe off the vehicle.

What hideous consequence have I failed to foresee?

I'd disconnect the battery too but other than that you should be OK. My third sensor is in the drivers downpipe after the original one and mounted roughly horizontal. Don't use cheapy Chinese universal sensors though unless you like changing them every 9 months or so. I've found an NTK for a Focus is cheap, easy to get hold of and the one on there has been there for over 2 years now.

Can I ask what this extra lambda does

Typically for a single point closed loop lpg system where it needs the feedback to adjust the stepper motor. The GEMs one being a 5v sensor doesn't easily marry up to the ecu (if at all)

It's used with a single point LPG system. They aren't particularly happy with the output from the factory 5-0V sensors on a GEMS as it stops at idle. It doesn't matter to the petrol system as it goes open loop at idle anyway but the LPG system sees it as a weak mixture and cranks the fuelling up to the max. Using a 0-1V sensor to drive the LPG system means that the mixture stays where it should be all the time (as they still give an output at idle) and it also means you have two totally independent fuelling systems. Even if the car won't run on petrol at all due to a failed MAF, gummed injectors or a dead fuel pump, for instance, it will still run perfectly OK on LPG.

I doubt you'd break anything even leaving all the electrical stuff connected while you're MIG welding.

I'm not as familiar with P38 exhausts as half of forum members but have welded lambda boss's onto them. Only issue I can see is that the 'easy access' might not seem so easy access when it comes to welding... but I'd try it without removing the exhaust as you intend and would expect to do well.. just that the welding would've been easier if the exhaust was off. Of course there's then the balance between effort to remove / refit the exhaust vs the difficulty welding with the exhaust fitted.

Why do you now need the 3rd lambda?

Edit - 2 posts crossed with this. Of course I get the 0-1v sensor for the LPG system input, question is why now? A lot of the early mixer system ECUs could only work with a 0-1v probe but most later ones can work with 0-1 0-5 and 5-0v. If the lambda signal wire is cut (so the LPG ECU can supply the petrol ECU with an emulated lambda signal via 'grey wire') then even if the petrol ECU tries to pull lambda voltage the LPG ECU will still see correct lambda voltage.