It's highly recommended. Something is needed to transmit the heat efficiently from the CPU core to the heatsink. In a perfect world, both surfaces would be utterly smooth and flat, with 100% contact at the molecular level, and nothing would be needed betwen them. As it is, the three methods of conduction are thermal grease (aka heatsink compound, thermal paste, etc), a thermal pad, and a special gummy stuff that is like a hybrid between the two and which turns semi-viscous at elevated temperatures. AMD's official recommendation is for the last of these, perhaps because it will conform to the gap if the heatsink is not quite straight.
I guess there's thermal epoxy too, but that is not a good idea for a CPU, since you would not be able to access the CPU-release lever afterwards.
Thermal grease won't glue on your heatsink, although it might take a bit of twisting to break the viscous suction of the very-thin layer of grease. It can be wiped off with a cloth and some rubbing alcohol. Hope that is a help. 🙂
