Yeah that's exactly what I was thinking, cut another thin gasket material to shim the tstat(and gasket) out. I think if you cut a nice piece to use as a shim it's seal ok.

I know you said you understand now but since I took the time to render this terrific piece of artwork I'm still going to post it



Black is the half of the tstat housing with the recess that the tstat sits in.
Purple is the other half of the tstat housing
Red is the tstat gasket
Green is the tstat itself

I'd put a "shim" piece of gasket between black and red on the left side.