I had that same question when I was looking into building my own in-the-bumper style CAI... what to do with that sensor?  The sensor is an ambient air temp sensor and coolant valve all in one.  While I had mine off the car, I decided to test it to see how it works.  At normal room temperature the valve is open (allowing coolant to flow through the throttle body).  I tried freezing it in my freezer to see if cold conditions make it close... nope.  Then I heated the sensor side over an open flame on my stove, and as it got hot it slowly closed.  I wouldn't think that the air temperature inside the airbox would ever get "open flame" hot, but I believe the added heat of the coolant running through it also adds to what it "senses" for overall temp.  So apparently, when the ambient air temperature inside the airbox is cool or cold (i.e. first thing in the morning and during the winter), it allows coolant to flow to the throttle body to prevent it from freezing up and once the airbox temps have increased (in combination with the coolant warming up) it closes to block the flow of coolant to the throttle body.

I was reading through the CAI installation instructions on Benfer Performance's website to see if they mentioned anything about this sensor, and they stated that you could just zip tie it to the bottom of the HFM with the long zip tie that they provide (simple enough).  This may be the best thing to do if you have extremely cold winters, but since I live in Texas I chose to by-pass the sensor and the throttle body completely for a cleaner install, and to keep the intake temps as low as possible for the best possible performance from my Custom CAI.  There are no electrical connections on the sensor, so there won't be any false readings sent to the engine's management computer that would cause problems.

I tried this configuration at first, but realized that hot coolant is constantly pumping through the throttle body (once the car has warmed up), which is not good for performance as it would increase the intake temps dramatically at the throttle body.  With this configuration, after 30 minutes or more of driving, I could pop the hood and feel the intake piping of the Custom CAI with my hand and it would be nice and cool, but as I felt the HFM and throttle body, they would be much warmer (the throttle body was actually very hot to the touch).