Hmm, I remember some mobo's are generous and have little open spots around the sides of the socket, if so you slip the heat sensor through those, and it should be smack in the middle of the socket afterwards. I think Asus does this, msi doesn't.. You might be able to just drill yourself a hole depending on how they have the socket setup.. well, if you wanna risk it that is. If not? well, you could try just taping it beside the heatsink or the socket, the readings won't be accurate though. On the heatsink the temp would be higher, and on the socket the temp would be lower than the cpu's actual temp.
Later-A-Much, and LONG LIVE THE D!