If you can post a picture if your oil pressure gauge and the "wiring" that came with it we can help.
They come in two ways: with an electrical and mechanical. Electrical sends a signal to the gauge through a wire attached to the sending unit on top of the block beside the distributor (see pic). A mechanical gauge has a hollow plastic or copper line that runs oil from the sending unit to the gauge. Which means you will have oil pumped to the gauge inside your car! I always use a copper line in hopes it won't crack and send oil gushing into my car.
Edit: I just had a closer look at the picture I picked off FABO and it looks like this guy is running both, electrical and mechanical. You can just see the copper line at the bottom of the sending unit.
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