The cpu temp probe goes as close to the cpu sa poss, BUT, NOT between the cpu and heatsink, as this would negate the cooling efficiency (the heatsink must remain in contact with the cpu, this is why the thermal compound is applied so thinly, as even too much of this can have a negative affect sennding the temp too high).
The other probe I would/do put next to the hard drive, if you have more than one hd, the chose harddrive 1, as this tends to get the hottest.
The fan controls I connect to the case fans, so I can adjust the airflow through the case (and hench the noise). Most mobos now have some thermal monitoring for the cpu fan built in and will adjust the speed according to need.
Hope this helps.