Everything is done inside the gauge, the sensor plugs into the back and there's an additional tail for input power and the 0-5v output.
How I wired mine in was to take the 12v input from the same 12v source as my AEM ECU and I also used the same ground, to try and keep it all as "together" as possible - that means the 0-5v signal wire will be right there with your ECU so it should be easy.
The connector block for the sensor is absolutely huge by the way, and the lead on the sensor isn't very long which did limit placement a bit. The connector itself is well insulated from the elements. I chose to hide mine in the transmission tunnel area somewhere around the gearbox and fed the gauge-end connector up through a handy hole on the firewall...