You should probably just leave it. After everything the poor urchin has been through, he's probably feeling "naked" in a sense and wants something to cover with. If you try to remove it, you could potential pull off some of his feelers, and at this time, I think you should avoid any unnecessary damage to it. Besides, it's just a thermometer.
Do you have any small shells in the tank? Try to put some other things in there that he could carry around. Maybe after he gets more cargo, he'll drop the thermometer.