When I had a shop weld a bung to my old headers, they just welded it on... I'm pretty sure there was no oven involved.
Also, if the EGT probe uses the bung as a ground, there's a chance your readings are crappy because of the loose threading.
If you really want this taken care of once and for all, get a bung welded on, and get a stainless plug for it so you can run w/o the EGT probe if you need to.
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