Well you just have to be careful when you are building it, especially on your first one. I used a guide on the computer to build my first pc.
Here is the one i used
to the left if you lcick on "assemble pc" under "hardware" it shows you the step by step process on how to assemble it.
Yeah if you put parts in the wrong spot you could ruin them, but as long as you follow the guide you should be good. There are many guides like this too. You can just search in google "How to build a pc ?" and there should be plenty of things.
As for thermal past goes it isnt that bad. All oyu have to do is put a little bit on the back of the processor where the heatsink will be. It's a little hard because you dont want to spill it on the mobo but just try to be really careful.
A lot of people think building a pc is hard but once you do your first one you'll see that it isn't as hard as you thought. Use the forums though to ask questions about something if you are not sure and you will have a better understanding of building your own pc.