Linking with the library increases the size of your program by about 33 kilobytes (25 kilobytes shareable) and by the size of the trace file that is allocated (controllable through a command line option to prex). If you are never going to attach to a running program using prex, don't link with libtnfprobe.
However, if a program is not easy to restart and is a long-running program that you might someday want to gather information about, then do link with libtnfprobe. A window server is a good example of this--not the sort of program you want to stop and restart often--so you probably want to link with libtnfprobe before you start it running.
You can link with libtnfprobe in one of two ways:
If you are compiling your program, include -ltnfprobe on the cc line (if using -lthread, always put -ltnfprobe before -lthread).
$ cc -ltnfprobe -lthread -o cookie cookie.c
If your program is already compiled or you don't want to build your program with an explicit dependency on libtnfprobe, use the following command:
$ LD_PRELOAD=libtnfprobe.so.1 executable_object_name
See the Linker and Libraries Guide for an explanation of LD_PRELOAD.