That Is my understanding of how it is done. usually inside some sort of screen and a fan can also be added if you wish.
I think i read in another post that you can have several meters of lead for the Dht22 and sht-1X devices but the sht-2x devices require a shorter lead. If you were to place it inside your box with all your electronics you may get false readings from their heat, also if the box is outside it would need to be sealed from the weather, again leading to false readings.
Google " DIY Stevenson Screen " for some ideas
I think i read in another post that you can have several meters of lead for the Dht22 and sht-1X devices but the sht-2x devices require a shorter lead. If you were to place it inside your box with all your electronics you may get false readings from their heat, also if the box is outside it would need to be sealed from the weather, again leading to false readings.
Google " DIY Stevenson Screen " for some ideas