Wire it between radio and mixer on the steering channel. You must mix in the robot.

Make sure that you get a gyro with both heading lock and a separate gain channel. You need to disable the gyro if you go inverted otherwise youll get gyro death spin.

Some people only enable the gyro when the bot is being commanded to move forward or backward, doing this with a transmitter mix (elevator controlling the gain channel).

I recently got a futaba gyro that seems to work very well and is very small:

http://www2.towerhobbies.com/cgi-bin/WTI0001P?&I=LXXF87http://www2.towerhobbies.com/cgi-bin/WTI0001P?&I=LXXF87

Enjoy, they are a lot of fun.