There was an article written about two weeks ago on just how to put a thermal probe up against your cpu die. To sum it all up for you.
First you have to trim away some of the plastic that is on the probe. If you look at it you can see the small sensor inside. What you want to do is trim away as much of the yellow plastic as possible without breaking the probe.
After that is done. You need to attach your Heat Sink to your cpu. Then try to slide the probe under the HSF and above the processor. You want it to slide in and butt up against the processor die. You can pull it back out to see if there is some thermal grease on the probe. If there is then you know you made it in all the way. When you put it back in you will need to use something to hold it in place. I used a dab of hot glue.
Any questions email me.
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