As long as your sensor leads are very thin, you can install it to the underneath side of your processor as shown
here in the Thermaltake Volcano 9 instructions.
I have done this a few times. I would suggest that you make sure not to place the sensor in between your procesor and your mobo's socket thermistor though.
This method is probably better than attaching to your heatsink.
You can attach to the back side pcb of your GPU also.