I don't know if I'd lap the CPU, as rocmonster is very much correct - there simply isn't much between that blue overcoating and the actual CPU silicon itself.
However, you SHOULD lap the Golden Orb when you get it. Some Orbs have a tiny stud of metal in the center of the mounting portion that is left over as a byproduct of turning the base during manufacturing, and if yours has this it could pierce the CPU cap and kill the CPU. It's exceptionally rare so far but has happened. Lapping it flat will take care of that, as well as improving the overall thermal performance of the Orb.
To lap the Orb, obtain several full sheets of aluminum oxide sandpaper (preferably water-resistant) in 400, 800, and 1200 grit sizes and a piece of glass about the same size. Remove the fan and clip from the Orb so you're only working with the heatsink itself. Starting with the 400 grit (the coarsest grit first), tape the sandpaper grit-side-up onto the glass and sand the base of the Orb against it. This is best done by pressing straight down gently on the Orb while moving it in a figure-eight pattern. be careful NOT to rock the Orb while sanding or you'll round the base of it - precisely what you DON'T want to do.
Check it frequently. When you JUST sand off ALL of the anodizing (the golden color), swtich to the next finer grade and repeat until the surface appears niformly smooth. Then switch to the final size and add a few drops of water to help the process, smoothing until you get a finely polished surface. The end result will be shiny and smooth enough to use as a poor-quality mirror and should be nearly perfectly flat.
It takes about 20 minutes of steady-handed polishing to lap an Orb to perfection. And you should pick up a couple degrees C from it.
O d d O n e, who writes articles on how to use Golden Orbs.