I am assuming that the temperature sensor that is part of many cases is placed between the heat sink and processor. Would like to verify this before placing it there.
I have a Thermaltake XaserIII case, that also has a temperature sensor.
Mine was designed to go under the cpu.
That is, it is attached to the underside of the cpu with a piece of special tape. The fine wires are then carefully threaded in between the pins of the cpu, and the cpu put into it`s socket.
I suggest you check in your case manual, or on your case manufacturers website, for instructions.