If you've purchased it in the last couple of years, it would have come calibrated.
Are you sure you're reading in *C and not *F?
Is the sensor plugged directly into the gauge, or do you have an extension? If you have an extension, is it K type thermocouple wire? It's important.
Is the connection between the sensor and gauge a K type thermocouple connector? Again, this is very important because the whole way the sensor works is based on dissimmilar metals, you can't use copper wire or connectors and have it be accurate.
You could check with a multi-meter. It should be 38 micro volts per degree Celcius.