I BIAB and just leave this guy in there for the entire mash to see my temps. It is waterproof, it was actually made for liquids. Reads the air temp great as well though. I also use it during fermentation to keep an eye on those temps.
This is the waterproof probe, 3rd one listed, Heavy Duty Wire Probe
and then I use this little Thermocouple guy
Edit: I used to use one like Grannyknot listed above, but after a few uses it crapped out on me. I'm guessing it had to do with moisture somehow making its way into the probe where it is connected to the wire.