[t vago]

I would suggest placing these TEGs in the immediate vicinity of your upstream O2 sensor, and just behind and downstream of your downstream O2 sensor. If the O2 sensors can take the heat, the TEGs should also be fairly happy there.

Edit: And are you sure you want to rely on ambient air to generate your temperature differential? Seems like you're going to want to put some cooling fins on to take away this heat, and use some sort of forced airflow, at a minimum. Maybe a coolant loop would be better.