Worth the effort? - Yes
Cooling better? - Maybe, it's really about better air flow through the case.
How to? - I went and got a molex connector remover, removed the connectors one at a time, put the sleving and the heat shrink stuff on, re-mounted the molex connector and heated the heat shrink stuff with a hair dryer. some of the other connectors could not be removed so i used colored electrical tape on those spots.
(I melted the hair dryer in the process though.
Which kit? - Most are about the same, depends on your color preference and if you want the UV reactive stuff or not.