I am not too sure what you're searching for, but I imagine it to be a kind of thermistor housing to distribute pressure from the screw while maintaining good heat conductance.
I first have to say that I'd be afraid to damage the glass droplet of the typical thermistor design by putting pressure to them, especially including later thermal expansion. However, I never tried and we might find some valuable experience on that in other answers here.
If what I assumed in the first paragraph is true, I would suggest forming some housing yourself with copper foil or copper sheets, since the heat conductance of copper is good and it is more or less soft.
However, as a more simple solution, you might just cut the metal part of a 'wire ferrule', if you got some lying around. (Wikipedia has no english article for this, so I link the german one for the images: Aderendhülse)
Additional info: Can't you clamp the thermistor the way it is done in the E3D V6 hotend, see this image?
Thermal contact should be quite good and you don't have any problems which could lead to damage of the thermistor.