I would think you would have to put those components upstream of the furnace supply transformer. Typically a line surge suppressor caps the voltage at 150v to 250v, which is a significant surge at 24v.

Use a SA28A Transient Voltage Suppressor (TVS) on the 24v line, it'll cap at 28v and is all of 15 cents.

Alternately, you can install a couple of these on the incoming mains and protect the whole house:

http://www.alliedelec.com/search/productdetail.aspx?SKU=70025984#tab=specs