What neurons make up the CNS?
Short answer
Sensory neurons are invariably considered to be located in the periphery. Interneurons and motor neurons are part of the CNS. 

Background
There are various classifications possible to categorize neurons.

One classification is the one you mention (Furness, 2000), which is a broad classification based on where the neuron projects to. It divides all neurons in:


Sensory neurons (feed information to the central nervous system (CNS));
Interneurons (are stimulated by sensory neurons and/or other interneurons);
Motor neurons (feed information from the CNS to the periphery).


Sensory neurons are invariably considered to be part of the peripheral nervous system. Their cell bodies are located in the periphery. Their projections may feed directly into the brain. For example, olfactory sensory neurons directly project onto the olfactory bulb in the brain.

Motor neurons include the motor neurons controlling muscles. Their cell bodies are located in the spinal cord, which is the CNS, but not the brain. Here the terminology becomes confusing, as this functional classification uses overlapping terminology with the projectional classification. That's why I, personally, prefer to talk about efferent fibers (away from CNS) and afferent fibers (to the CNS). Especially because motor neuron implies something motoric. In case of neurons driving glandular secretion this is counter intuitive. Efferent and afferent fibers are essentially the same names for motor neurons and sensory neurons. One way or another, motor neurons controlling muscles have their cell bodies in the spinal cord and hence are part of the CNS. 

Interneurons are invariably located only within the CNS. Interneuron is also a confusing term, because often they are implicitly considered to be inhibitory. Often they are, but they don't have to be. In the classification scheme discussed, most CNS neurons can indeed be classified as interneurons. For example in the neocortex, 70–80% of the neurons are excitatory pyramidal cells, while the remaining 20–30% are inhibitory interneurons (Markram, 2004). The spinal cord also contains interneurons.  

In all, most interneurons are located in the CNS, but not all CNS neurons are interneurons, because motor neurons are part of the CNS too. I agree with 243's answer that the classification scheme is most appropriate for the relatively simple neuronal circuitry characteristic of the spinal cord. 

References
- Furness, J Autonom Nervous Syst (2000); 81: 87–96
- Markram, Nature Rev Neurosci (2004); 5: 793-807