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Stick it on the side of the gpu. Temperature probes are crappy heat conductors, so placing it between the gpu and heatsink means you get to buy a new video card.
You don't want anything in between the chip and the heatsink. Even though the temp. probe is thin, it will still cause uneven contact between the chip and the heatsink, which would cause almost any modern chip to release the magic smoke. Now, if the card in question is an MX440, then it's probably not generating very much heat anyway... but that's no reason to take up bad practices. Just use some thermal paste / adhesive to stick the sensor to the underside of the heatsink right next to the chip.
wouldn't the probe be too thick anyways? i mean as you drew it there still should be a gap in between the die surface and the heatsink that should be almost too wide to fill with thermal paste, possibly resulting in damage, right? don't know though, but i'd try to stick it to the side of the core. never tried it out, mind you, so you might call BS on this one
still, better have temp readings that are off, than have to go out and get a new card...