The fact that the sensor is under the CPU in the socket, is a good reason to use an external probe if you are interested in the most accurate reading that you could get, since the external probe actually touches the core. It still is not 100% accurate from what I understand, but as close as one could get.
Anyway, I have mine placed going in the side, placed in the middle, with the tip of the probe touching the side of the core, held in place with a piece of frag tape. You of course cannot place it on top of the core, as it would crush the probe, and affect contact with the heatsink. I tried other positions, but they would interfere with my Alpha fitting flush on the T-Bird. I also had to remove the shrink tubing collar on the probe to get rid of the lump that it made, to make it as flat as possible.
EDIT: Here is a
Picture of mine. Hope it helps.