Gaskets should be used wherever you are bolting two pieces of metal together. The gasket will help seal any gaps. Some of the places where gaskets should be used are between the...
head and manifold
manifold and turbo
downpipe and turbo
oil inlet on outlet
wastegate and manifold
blow off valve and piping
downpipe and cat
cat and exhaust
Those should be most of the places where you need gaskets.
And the oil outlet side of the turbo is the side with the bigger opening. Try and have it pointing as straight down as possible.
Also, I recommend purchasing a copy of Corky Bell's Maximum Boost as it is an excellent book describing all apects of turbocharging and will help you out so much, as it did with me.