Welding Thermocouple to Test Sample
I normally do this by twisting the thermocouple wires together, then crimping into a standard crimp-type terminal lug. That is then either bolted or soldered to the test item. 

So long as the two thermocouple wires are in direct contact with each other, you won't have any appreciatiable accuracy problems. 

Note that your temperature measuring device must be able to accept a grounded thermocouple. This isn't a problem with a stand-alone / hand-held meter but does have to be taken into account if connecting to a multi-channel and/or computer-based data acquisition system.