I'm guessing that this is an external display unit, FDD or CD bay so you can see temps easily ingame etc.
As yet my new PC with all snazzy things like that hasn't arrived so I can't say where I've got mine, but I'd say that you'd want to attach the CPU one on the heatsink or something close to the CPU, to get as close a reading as possible. The same for the graphics card too really if you can.
InvG