Wow...Not an answer yet? Huh...
Well here ya go:
1. What is thermal paste?
Thermal paste (or grease) is a substance that easily allows the transfer of heat through it. There are varying qualities, from the cheap $0.99 stuff (that works fine) to the expensive crap that's made of fancy crap that works a little better. You use thermal paste between the CPU surface and the heatsink, to create a better connection between the two surfaces (no air gaps) for better transfer of heat to the heatsink. Some CPU's come with something called "thermal tape" which is a manufactured "spray-on" kinda square of thermal gunk. Most often thermal tape is of poor quality and works poorly, so most people suggest you (carefully) scrape that off and use thermal paste instead.
2. Should my CPU have come with any?
Some procs come with paste, some don't. Usually if they have thermal tape on the bottom of the heatsink block, then they don't give you paste. Just grab some at any computer or electronics store. You don't need to spend a lot for it. Usually the $0.99 stuff works just fine.
3. Do I really need it?
Hell YES! It used to be an issue, but certainly not anymore! These new procs run HOT and definately need good cooling setups.
4. If 3 is a yes, where can I get it and which is best?
Like I said above, any electronics or computer store should have it. Don't spend a lot. Any will do the job.
5. How do I use it?
Leave your CPU in the socket, take yer heatsink off (carefully). Clean off any thermal tape already present (carefully, no water no metal tools) and make sure things look clean (don't have to be super clean though). Get yer tube of paste, put on like half a pea's worth (really small amount) dab it around with yer finger (don't lick yer finger, the stuff's poisonous) till it covers about half the surface area in the center of the CPU surface. Then, carefully set her heatsink back down and clamp it in place. If you did things right, no past should squirt out...In fact, squirting paste would be BAD, so it's always good to try less and see how things look. If you're not sure how it went, you can always remove the heatsink and look at the spreading of paste.