Two points I can readily agree with here -
1) D&T the drain plug to accept the sensor (or just have one machined from barstock, so you have enough "meat" to accept the sensor in the first place.)
2) The transfer case is probably one of the components that least needs temperature monitoring. There is a good deal of stress in the axles - in fact, I know that the Viper has an optional kit for axle cooling. Automatic transmissions? Good idea. Engine oil cooling? Can't really hurt, can it? Even the manual transmission (with the torque multiplication of the various gearsets) can benefit. But, the transfer case is usually either run in 1:1 with a light pump circulating the oil, or run in a low range (torque multiplication) at rather low speeds - which helps keep stresses down. And, the pump is still circulating the oil (inside the aluminum case - which also works as a cooler.)
Not trying to shoot down your idea - if you do it, note #1 above and report your findings (I'm always interested to learn new things!) but I honestly don't see a great need for it.