Actually.. it sometimes depends on the compound.
For example, on Arctic's website, I noticed that previous versions of their compound said to use a baggy or something to cover your fingers while their newest product (arctic 5 silver) says to simply put the amount on the cpu and then use the heatsink to spread it out.
Either way, I would check the directions that either came with the compound or the manufacturer's website.
But Vampire_Slayer's right, don't use your uncovered fingers.
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