Hi Drab and Welcome to the Forums!
If its a retail cpu, it should come with a heatsink that likely has the "thermal pad" on it. Which is fine.
If it an OEM cpu, you'll get a tube of thermal grease with the heatsink you must purchase for the cpu.
But, yeah you definately need something between the CPU and heatsink. And if there's a pad, don't add thermal grease unless you remove the pad and clean thouroghly
Fern