Ok about the thermal grease. Castro that is what you put between your processor and the processor heatsink in order to prevent the direct metal on metal contact. However, in your case your processor heatsink will come with a small pad (or a sticky little square of material) stuck onto the bottom of it. All you have to do is put that on the processor. That is the other alternative. It's called a thermal pad, the alternative to thermal grease. Thermal grease might give you a little lower temps but it isn't necessary. You should be fine with just the pad that is already on it.
Also for the sound blaster why are you comparing it to the AN8? The AN8 is your motherboard, sound blaster is the sound card. I think you are referring to the sound blaster audigy 4 for that thing is $200. Anyway I would stick with the motherboard and stick with the audigy 2 ZS.
Oh, and thermal grease is not adhesive.