special connectors best, but not required
Thermocouples work by a mechanism that involves small voltages that are generated at interfaces of different metals at different temperatures.
They do make special thermocouple connectors that use the same metals as the thermocouple wire, so that any temperature differences at the connectors will not influence the thermocouple reading in any way.
Frustratingly, these special connectors are rather bulky. Even the ones they call 'miniature' are the size of a nickel. But if you have these connectors, use them.
If/when you use regular splice connectors (tinned copper usually), you are creating junctions with different metals, and the POTENTIAL (pun intended) to cause erroneous readings from your probes. But as long as the temperature is the same at both connectors for the two wires, then the errors all cancel out, and everything is fine.
Let me clarify: A typical probe uses an Iron wire and a Constantan wire, for example. (Constantan is a special alloy). They are joined at the probe tip, and a voltage is generated when that junction is at a different temperature than the temperature at the measuring instrument. ( some electronic magic is done there to create a virtual cold junction inside the instrument).
Now, if we put a splice in each wire, there is a junction from the iron wire to the connector, and then another junction back to the iron wire. Same for the constantan wire, a junction to the connector, then another one back to constantan. As long as the junctions from the iron and constantan wires to the connectors are at the same temperature, there is no error in the probe reading. Small differences in temperature between the two splices will cause small errors in the reading.
So, you should just make sure that these splices are very close together, in the same temperature environment.
