Usually tape is included with something like that. Maybe look in the box to be sure you didn't overlcook a small plastic sheet.
Otherwise electrical tape cut very thin will do. If you have an AMD cpu and if the wires near the sensor are thin enough, then place it under the cpu and thread the line between the pins. Otherwise as near to the cpu you can, but not between the heatsink and the raised cpu core. If between the heatsink and cpu, be sure the sensor isn't preventing the heatsink from making full contact. Safest place is as near the bottom of the heatsink you can get, even between the fins. Of course this way won't be as accurate though.
As for the video card, hard drive, I'd try various places and see which give you the most heat.