Is the heatsink itself actually warm? My Athlon reports a 60C load (3000+) in Motherboard Monitor 5, but the heatsink itself is quite cool to the touch.
If the 'sink is warm, or even hot, then something may be wrong. Remove the heatsink and check that the paste is spread over the heatspreader on the P4 evenly, with no "patches". If you can see patches in the paste coverage then clean it off and re-apply a 1-2mm thick layer onto the heatsink, and try again.
Having said that, my girlfriend's 2000+ reports 92C (yes, ninety-two degrees Celcius), and is quite hot to the touch. Works cooler in a different board, and I tried a different 2000+, no difference. Tried an Aero 7+ and an X-Dream to see if that'd cool it better, but it's still roasting hot. Pah. At the end of the day, she's got a 5yr Service Agreement on the unit, so if it goes pop, they replace the CPU next-day.
It's a pre-built unit too, so there's no VCORE settings or anything in the BIOS, and it's as stable as b*ggery, so meh 😛
Like someone else said, if it's stable (and I mean looping 3DMark + some sort of distributed computing program in the background for several hours), then leave it alone 🙂