Both part houses I went to (Autozone and Napa) said no gasket. One lady told me she would never in a million years put in a thermostat without a gasket. She ate her words once she looked it up and it said to use silicone, they didn't even have access to order one. Also, my Haynes manual says the same thing. When I took mine off, there were no remnants of a gasket, just silicone and I'm pretty sure that was the original thermostat I replaced.
I may be wrong, but if I am then so is Autozone, Napa and my Haynes manual.