You definitely need some kind of thermal transfer material between the heatsink and processor. The stock sinks have a square of pink thermal interface material, usually covered with plastic tape to protect it during shipping. peel off the tape, install. If there's no interface pad, then definitely use some heatsink compound- just a very thin layer on the surface of the cpu die in the middle of the processor package.
Never power up a cpu without a properly installed heatsink- poof!