Well, according to the diagram that came with my Thermaltake Extreme Volcano 12 - http://www.thermaltake.com/support/i...s/a1745v12.pdf
that's where thermal sensors should go.
I know it's for a temperature display, but shouldn't it be pretty much the same?
Putting the sensor on the heatsink won't give you an accurate representation of the temperature, as the heat would be dissipating along the whole surface of it, not to mention the fan blowing on it too.
Sticking it between the heatsink and CPU would damage the sensor from the pressure and CPU due to the reduced heat transfer.
Hope that may be of help.