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It does use a gasket. I like to put a small film on both sides of the gasket. This will help in case you need to take it apart. The film will help the gasket from fusing. Also make sure the t-stat is installed with the spring side down and the hole towards the drivers side since the water pump housing is at it's tallest side and will help the air to bleed.
Its the O'Reilly's recommened safety thermo; no jiggle pin.
It did not come with a gasket. The one I bought for my other FB DID come with a gasket. In that case the gasket prevented a proper seal. I took out the gasket and the Install went fine.
In this case, my 85, no gasket and I've got leaks. Very strange.