these folks are indeed correct. if your board doesn't support the on die like mine does, one can be added. it must come in direct contact with the die (preferably underneath and in the center of it)
you could get extravagant like one of the responses above and use an infrared thermal sensor wich can take temperature readings acurately without coming in contact with the die at all. you would have to mount this type of censor so that it is pointed at the chip, again preferably at the center, but in this case top or bottom. they are also correct in stating that it is not necessary to have this temp. sensor, but it can come in handy in preventing a meltdown of your chip should your cpu fan fail. do some research into these options. i have also seen instructions on websites on how to build a circuit that will turn the computer off if the fan fails, this would be a great alternative to the sensor. if your heavily overclocking you definately need to monitor your temps until you are comfortable with them enough to leave your computer on all the time and not have to worry about a meltdown. my board will reset the computer if it gets over a "threshold" temperature and will reboot into bios in safe mode, thus protecting the chip in an overheat situation. many of the boards built around the time mine was (1999) or newer have these features built into the bios for your protection. i advise you to go to asustek.com and download the manual for your board if you do not have the original, and read it cover to cover, it will be of great help to you in your quest to know cpu temps. and what capabilities are built into your bios. you can also get bios updates from this site, if you have the original mobo cd it has AFLASH on it
(this is the utility you need to flash or update your bios). if you don't have the cd, this program and how to use it are also on this site. if you encounter a problem when flashing your bios, DO NOT turn your machine off. if you have read the instructions you will have made a bootable floppy with both the new bios and the old. if the new doesnt take press escape key and flash with the original bios from the disk you made.
it is entirely possible that a bios update is available and it may support the on die temp sensor. like i said, do some research, if you jump into these things without knowing exactly what you are doing you will end up with a non bootable machine or a burned up chip. the best resources you can find are on asus's website, you may also wish to visit a site called "ocinside.de/index_e.html?" to simplify things just go to ocinside.com. take a look around here as this is the site (i am pretty sure) that tells you how to make the circuit to shut your puter down if the fan fails. another good site is tomshardware.com.
i hope this all helps, if you have any more questions about this i will be happy to help, as i am sure will the others who've responded to your query.
good luck, wisdom.