Putting your sensor in the metal clip is fine, unless the tip of the sensor is touching the metal. If the tip is touching metal, bone, or other heat conducting surfaces then you will get a reading on whatever the tip of the sensor is touching.
The problem I usually have with using the provided clips is that the clip doesn't work with the racks in my smoker. to resolve this I have a couple small pieces of wood that I have drilled out for the probe to slide in. I then put the piece of wood on the rack.