I've found that even waterproof probes on supposedly waterproof thermometers fail pretty quickly. It must be the heat. I've given up on them. I went through a bunch and they all failed and/or sucked.
If you want to leave it in your mash tun, I'd go with a thermowell setup. It involves drilling a hole through your mash tun, installing a thermowell, then a thermometer into the thermowell. It will be a permanent installation.
If you can live with taking occasional readings by hand, I'd go with a ThermaPen.