I was wiring up my oil pressure gauge and I am stumped with the orange wire. It says to wire up to the headlight to activate. Do I just tap into any wire on the headlight harness?

You have the dual color guages right? The amber/white or green/white ones? The orange wire can be wired into the harness going to your headlight/turn signal switch. The basic idea is to hook it up to a power source that only gets 12v when the headlights are on. This will distinguish between the "daytime" and "night time" color of the guages because when your headlights are on, it typically means it's night time.