a thermal compound is a must!!! i highly recommend artic silver 3. It is very easy to put on and gets great results. just a thin coat is all you need. Shims have their place. If you are using a big water block or huge HSF then you might consider a shim if you are afraid you are going to crush/crack the core. I put one on mine to be sure. You don't have too obviously and there are many here that don't use them and everything is fine.
apply a thin layed to the bottom of the hsf, or on the cpu core, either way it'll work, its just important to get a nice layed between the core and the hsf to improve contact area and thermal conductivity.