You're right, they connected the transmitter to the 'tx' pin of the microcontroller, but it is not essential for a simple sensor. Anyway, you need to decide what you wish to transmit, and the format. It could be as simple as a pwm stream corresponding to the value from than sensor for example. I suppose you also need something resistant to errors, in which case you may wish to (say) send the same value repeatedly, or continuously send a PWM stream. Or, you could save battery power and transmit nothing until a threshold has been exceeded, and then transmit an 'alarm' indicator? (I'm not familiar with gas sensors or the specific application you're considering). If it is just an on/off condition from the sensor, then maybe you just need to transmit pulses once the condition is reached/exceeded. If it is discrete values, then PWM could still be used, or if you are transmitting bytes, then you may wish to repeat them several times (or continuous stream) so that the receiver can receive it multiple times, in case there was a reception problem for some of the bytes. 8kbit/sec is possibly more than you need, if the conditions that the sensor is sensing are changing slowly, and if you don't mind that some longer time is taken to transmit the data. For example if you were sensing (say) temperature of a room, then a reading per second or per minute would be adequate, so 8kbit/sec is far more than needed for a room temperature application.
By using the 'txd' pin, they are able to use the microcontroller to automatically convert byte values into a bitstream. However there is nothing stopping you from writing your own code to convert the byte/value you wish to transmit into pulses, or just use pwm, on any general output pin on the microcontroller.