My understanding from Bill Kondolay at DTT, is that it should be in the line that GOES TO the transmission cooler. NOT THE RETURN LINE!
If you contact Massdiesel, he makes a replacement transmission line with the probe bung right in it. No pressure nuts, custom made! I talked with Scott today and he said that he has them and when you get his line installed you have to send your old line back to him. They are very reasonably priced.