Just use a simple polythene cover of sufficient thickness and wrap it around. This will protect the thermocouple against any kind of dust and also reduces the radiation effects

Radiation shields placed around thermocouples are generally used to reduce the effect of radiation on the temperature measurement. Aluminium foils have a good reflectance and are often used as radiation shields. This protection should be as thin as possible otherwise the conduction thermal resistance becomes important.

Protective tubes made of alumina or zirconia cover thermocouples that are used for ht experiments. The optimal choice is two-channel open-side thin tube with thermocouple wire within that is situated inside the protective tube with the one-side closed.

If you are interested in building your own thermocouple probes, while your application may be different, here is a good place to start: http://www.mdpi.com/1424-8220/12/1/954

In my experience, TC wire inside a glass pipette inside a sealed stainless steel needle produces desired measurements in a probe design that is sturdy and reusable (over one year in outdoor environments). They are relatively cheap to make, so if they do break, it is not hard to replace :)