[narvin]

Thermowells have major drawbacks when using "dumb" thermostats. By the time the probe hits the set point, the outside of the beer and the chamber are much colder. I get a much greater overshoot with my thermowell compared to the side of the fermenter. PID based thermostats are a different story.

In my experience you don't get overshoot of beer temperature unless you're chilling 20+ degrees to lager temp all at once.  During fermentation beer temperature cycles no more than 1 degree lower.  Air is not that conductive, so unless the fermentor is up against the wall of the freezer it's not cooling that quickly.

It doesn't matter what temperature the chamber is; it's the beer temperature that matters.  Glycol is cooling the outside of a conical at a much lower temp than the set point.

[Hand of Dom]

I use this stuff to stick the temp probe to the side of the FV

http://www.screwfix.com/p/evo-stik-plumber-s-mait-750g/14477

[Andy Farke]

I stick the probe to the side of my fermenter with blue painter's tape. One or two strips usually suffice, although you wanna make sure the surface is dry.