Room Temperature sense in a box
If you keep the power dissipation in your box as low and as constant as possible then a small delta-T can be subtracted. To a first approximation the difference in temperature is proportional to the power dissipated. This is essentially Ohm's law for thermal resistance. 

For example, if you have a 360mW relay you could change it for a latching relay (low dissipation) or add a resistor and transistor to waste 360mW when the relay is off. 

Devices like thermostats usually have vents and encourage air flow where it maximizes the accuracy. Sometimes forced flow is induced. I have one product that sucks air past the sensor.

Keep in mind that the thermal resistance is a separate question from the thermal capacitance (heat capacity). It might take 30 minutes for the temperature difference to stabilize- and it will be similarly slow in following changes in external temperature.