Directly to the tape is recommended. I say this because of the manufacturer's recommendation that the tape not exceed 95 degrees. If you have your probe insulated and set your thermostat to 93, you're already at/exceeding that recommended max.
I got a rack from Rich at RBI and it says the tape shouldn't go above 110.
Also to the OP, I just tape the prob on with duct tape. The tape isn't hot enough to melt it.