The coolant temperature sender (there are two) will be into a coolant passage (usually on the intake manifold, perhaps different on your engine). The sender with the fancy plug goes to the Engine Control Module (ECM). The other has just a post with one wire one it, and it goes to the gauge. It is the one going to the ECM that the ECM uses to determine whether or not to turn on the warning light. You can search the internet for one of the many parts diagrams for your engine to see a picture of the temperature sensors so you will recognize them. The transmission temperature sender will be located on the top transmission, about the only thing on it that has a wire. The manual will tell you if it is connected to the ECM (likely) which will then control the over temp light. Or it could be the type of sensor that turns on or off at a predetermined temperature and only controls the warning light.
Go to a website called Pirate 4x4 to read an article about your ECM (a version of the MEFI 4). Also this article has a link to download the very necessary Diagnostic Manual for that unit. It will give you the connection information you need if your problem is in or out of the ECM. I would, however, switch connections or bulbs in the display to insure that you don't have a simple failure there before going further.
Good luck.