Thanks for the replies. The wire going to the sensor on the thermo housing has no voltage on it. Is that normal?
No the warning horn wire/sensor shouldn't have voltage readings.
The warning horn itself will be connected to 12v+ power on one of it's wires while the other horn wire that you have there at the sensor is basically waiting to see/go to ground in order to sound the warning horn as the sensor switch resistance changes state (gets to hot).
The way to identify and know if that system is working correctly is to use a jumper wire and touch the sensor wire terminal connector to engine or battery ground while either the key is on or have the engine running if needed. The horn should sound/beep...Or should that wire be for the temp gauge, the gauge would go to max temp when grounded while the key is in the on position.