Getting mashing temps right was a big challenge for me for the longest time. I used to take readings after mash in. Didn't matter which what type of thermometer I used, or how expensive it was, it was hard to get a good, stable reading. Sometimes I'd add hot or cold water to the mash to compensate. I'd overshoot or undershoot.
These days I focus on getting the strike water at the right temp based on a mashing calculator. After the mash has settled my temps are always right on (within 1 degree F of my target).
Since I measure water temp before it goes in the mashing tun I don't need a super fast thermometer. I use a Blichmann Brewmometer -- hand held, not built into the tun. It's a bit slow compared to digital thermometers. It takes 25 seconds to get a reading rather than 5. But I find the dial very easy to read. Plus it's solidly built. I've dropped mine several times and it hasn't broken...yet. Finally, it's not a big deal but there are no batteries to deal with. I've had other dial thermometers but they rust out inside fairly quickly. Not the Brewmometer. It's not that expensive -- less than $40, I think.
My process is to use this calculator to determine the strike water temp. http://www.rackers.org/calcs.shtml
I have two mashing tuns -- one for small batches and one for larger. When I pour the strike water in I know it will drop 3 degrees F in one and 4 degrees F in the other, so I get the water temp in the kettle enough over to compensate for the drop. Once the strike water temp is right in the tun I mix the grain. At that point I can take mash readings and the temp will vary. I don't even do that any more because all it does is make me nervous. If I come back in 15 or 20 min -- after the mash has settled -- and take a reading it's always within 1 degree F of where I want it to be.
Mashing used to be the most stressful part of brewing for me. Not any more. I've even done several decoction mashes where temps came out just right. I'm always surprised how well thermal mass equations work!