Word of caution: always have a TIM present between the chip and heatsink. Even if it's a stock thermal pad, it's better than naked silicon-to-metal with microscopic valleys in both surfaces abound.
With that aside, I think heatsinks usually come with at least the white silicone-based goop these days, especially with Zalman's. This will be sufficient, but this stuff tends to dry out and not work too well afterwards which might not be a big deal if you upgrade with regularity. But for the long-term, I would look into some Arctic Silver Ceramique or Arctic Silver 5.