I was going to invent a digital thermometer with a wired temp probe and an alarm on it and call it "The Brew Buddy". Somebody beat me to it. I just ordered one from More Beer.
I cut the wire and slipped it through the tubing, then resoldered it.. It wasn't very easy, as you seem to have realized, I think I poured some rubbing alcohol down through it (as opposed to water, simply because it dries a lot faster) to help it go a little easier, and then I had to really work to get the wire through - the braided metal shield on the wire was like a chinese finger trap, in reverse... I seem to remember the process being something like a snake swallowing something: pinch the tubing where the end of the wire is, and pull the rest of the tubing further down the wire, pinch it there and then release the other end. Then sort of squeeze it in areas where the metal shielding is getting stuck.
In retrospect, Bobby_M's suggestion of keg lube sounds like a much easier solution, with the added bonus that the probe is filled with that grease after, meaning even if some water tried to enter it wouldn't get far.
I havent really worked too hard at it yet, but i did pick up some silicone tubing from the pet store... i need to take some time and try to work it on there...