Don't overlook lapping the heatsink before installation. You can really improve the heat transfer by sanding down the contact surface smooth. Just get a couple grains of sandpaper, all the way down to ultra super duper fine. use the roughest first, working in a circular motion, until you get to the finest. When you're done, the surface will reflect like a mirror. I used to do this when I was into overclocking, but I don't really bother with it anymore.
Edit: Also I use a razor to spread the thermal paste, then take a plastic bag, stretch it over my finger, and use that to really rub the paste in. With these two methods, you will get maximum surface contact between the CPU and the heatsink. Good luck!
