I use a thermowell which is simply a section of 1/2" rigid copper pipe capped on the bottom and mounted vertically down into the mash. It is held in place by a wooden cross bar on top of the mash tun:
The orange thing is a piece of a fiberglass driveway marker I use to push the probe to the bottom of the thermowell and hold it in place. I'm running a semi-automatic direct fired RIMS. I use a Johnson A419 to control the burner and the probe for it is mounted on the output side of the pump. The digital thermometer monitors the mash temp and I adjust the controller as needed to achieve the desired mash temp. I say semi-auto as I still must adjust the flame level and the pump flow rate manually, but that's easy to do. The thermowell is fully adjustable vertically for various batch sizes. I have it mounted half way from the center of the tun to the outer wall and half way to the bottom of the grain bed. I figure this will give me a good indication of the average mash temperature. It's been working very well. I like the cross bar arrangement as it can be easily moved out of the way if necessary such as when stirring the mash. I did not like having a probe or thermowell coming in from the side as it got in the way when stirring and was not adjustable or well positioned.