Yep, in the first row of the gusset, as pm (place marker).
I'd also do a PM when you join the cast on to make it easy to identify completed rounds. When you work in the round and come to a stitch marker you simply slip it purl wise from left to right needle. If you use two stitch markers, one on each side of the thumb gusset stitches, I would suggest one color (like red) for the turn and a different color (like blue or green) for the other side. Then you work the gusset stitches in MC between these two markers and folow the pattern instructions for Worked Flat outside the markers.
Thanks for linking to the pattern, I've save it to try later.