The first section goes in /etc/modules.conf, as you have it.
The second part (as per your post) depends on your distro. If you have /etc/rc.local or /etc/rc.d/rc.local, you could put it there. I made an executable rc.lm_sensors file in /etc/rc.d/ with the relevant code in it
For the last part, you need to do as the program says:
to /etc/init.d/lm_sensors for initialization at boot time.