I dont think that taping the probe outside the tub is a good way to regulate temps in the tub itself. To prevent the probe from getting caught, you could perhaps drill a small hole for the probe to slip through?
Another option, if it is feasible would be to return this thermostat and get the Zoomed Repti Temp 500R that uses a remote sensor probe. Here is a link to it if you are interested:
http://www.zoomed.com/html/thermostats.html
I also use the ESU thermostat, and I prefer to place my probe directly under the hot spot from my CHE. This way, I know that my hot spot will never get too hot and cook my snakes. In other setups, I noticed that some people also place the probe in the middle of the cage and try to regulate a median temperature.
Hope this helps.