That seal goes between the thermostat housing and head. The thermostat seal is a pretty flat U section, and fits around both sides of the thermostat.

The seal is not available from Ford by itself, so they expect you to buy a thermostat, complete with seal, for about £45.

Or go to Halfords and buy a thermostat from there, with a 82 degree celcius temperature rating (as opposed to the too warm 88 degrees), complete with a seal (slightly thicker than the original Ford seal, but fits fine) for about £6. I can't remember what it is specified for, but the part number is HTK606. Check that the seal is in the box, as some people will just "borrow" the seal they need without paying for the thermostat.