...Although I don't think they are needed, shims do protect the core, however the effect on the heatsink varies. Some people get higher temps, while others get a lower temp. If you feel you might crush the core, get a shim. Just dont' be surprised if the temp goes up a few degrees.
I've not used a shim before and still see no need to use them. I guess I'll have to crush my XP some day before I may change my tune. I just can't recall anyone saying they've crushed their XP while installing a cooler. And I can't see how it could be crushed unless you were careless enough to drop the cooler on it.