Yes, disconnect the sensor wire from the sensor and put the multimeter in the middle to re-establish the circuit.
Sorry, it's easy to forget things that are obvious to me but not necessarily to anyone else. Connecting +12v to the sensor's screw terminal would read somewhere between zero and 13.5 volts (or thereabouts) ... right up until the extra voltage fried the sensor.
The only time to connect any sensor directly to the battery is to test the sensor's ground. In that case, you'd run a jumper from the battery's negative terminal to the base of the sensor. (Or, a place on the engine close to the sensor.)
