I like to place a sensor near or on top of the GPU and you can stick it down anywhere with some cello tape. If you have a air cooler for the CPU you can also just place in in the fins of the cooler but make sure the wire is secured away from the fan.
I have a few thermocouples spread around in my messy rig. One is stuck into the mosfet heatsink, I sort of pushed it between the fins. The others are behind cpu, NB heatsink, and one ambient inside ( just sorta hanging around ). But I use a voltmeter every so often to hook up and check up on my rig and see how the temps are. Just need to label the plugs, which goes where.
Your temp sensor can be externally mounted anyplace you like. Mount it near the top of the case with the end measuring the case air temp, you can tape the sensor on the metal cooling fins of heat sinks, on the hdd, psu. You can not mount the sensor between the cpu/gpu and heatsink, it would crush the sensor and stop the heatsink from making proper contact.
I'd go for case air temps.
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