In electronics, when you want good heat transfer from a semiconductor to a metal heat sink, you need two smooth, clean faces bolted to one another, usually with "heatsink compound" or "heatsink grease" applied to the surfaces before you bolt them together. Barring that, even with two visibly smooth plates, you're looking at trying to make contact between two bandsaw blades placed business-edge to business-edge; I've seen the microscope pictures to verify this.
So to improve your heat transfer, grease the interface, then wrap the whole thing. Keep in mind that your probe itself will conduct heat away from the contact point, so you'll need to insulate 3 or more inches of the probe as well.
Finally, keep in mind that the actual sensing point on the probe tip often is offset from the point, so you might get a better reading just rotating the probe. I've done this with 1/8" type K thermocouples.
The best way to get good readings is immersion of a long portion of the probe, but that only works in some circumstances.