According to the manual, p.29, it goes between the heatplate and heatsink (which is where I have mine, w/ a VOS32). If the cover's on, I don't know where else you'd put it. I figure most CPU probes are made assuming the cover will still be on, and I figured I wanted a "standard" reading. Now that it's off, I wondered if I ought to put it somewhere else since I can.
The wire goes into JTCPU, which is the the connector on the left of the two that are together slightly to the right of the CPU-slot down above the AGP slot. The other one is the power-supply temp probe connector. (manual p.30)