Natural Gas Furnace Installation Shut off valve Direction
Put the side tap on the furnace side. This will make it much more convenient to connect and remove the measuring gauge because you can shut the valve so that gas won't be pouring out. The reading will be just as useful as having the gauge on the supply side because there will not be any pressure drop across this valve.

If you are worried about air getting into the supply pipe and making a combustible mixture, you could leave the valve open a little so that there is a small flow of gas out the sidetap which will keep air from getting in