All computer chips are made out of silicon, and you can 'train' silicon. You can train it to operate at the same frequency with less voltage, you can train it to operate with a higher FSB, and other thigns of that nature. Silicon is rubbery by nature, so it can, like I said, be trained to do things. Think of a Ni-Cad battery. You can train that, and it will learn, to hold a longer charge or a larger one.
Think of it as a pair of pants. You can train them, break them in, or burn them in if you are thinking of a computer, to fit better and more comfortably. Therefore, you walk easier and you are less anoyyed. EUREKA!! They are broken in.
EDIT: And yes, it lets thermal paste melt and find where it is suppose to go, thus allowing a better heat transfer.