A lot of us have them in the cooler line that goes from the transmission to the heat exchanger. This gives a good reading on how hot the transmission really is - when the fluid is the hottest.
Putting the sender there requires a port in that line. I bought a replacement line for a '95 - it has the port in it, so it's an easy install. That line costs around $90. at most dealers, but it can be cheaper depending on where you go. Some guys accomplish the same thing by putting a T-fitting kit in that line.