Thermocouples are best used for measuring temperatures that can go above 100 °C. This is a bare wires bead-probe which can measure air or surface temperatures. Most inexpensive thermocouples have a vinyl covering which can melt at around 200 °C, this one uses a fiberglass braid so it can be used in high temperature measurements such as heaters and ovens. There's a small piece of heat shrink on the end to keep the fiberglass from fraying. If you're using at >250°C temperatures, simply remove it with a small blade.
We have a handy tutorial which covers thermocouple use including an Arduino library and example code!
Please note: we seem to have gotten a few thermocouples that have the red&yellow wires color-coded wrong. It will not damage the thermocouple or sensor if the wires are connected backwards, but temperature readings will go the 'wrong way' so if you find that the temperature is dropping when you heat up the sensor, try flipping the wires!