I had to scrape off the original thermal pad of the P4 heatsink, because I changed motherboards. I applied Antec brand thermal compound instead, and it works very well.
When I used thermal pad OVER the original but rather missing Intel's pad (just that thin aluminium (?) foil was left there, what I didn't noticed first), the results were not very good. The pad was smaller then CPU, and didn't sit on the sink directly, resulting in temps about 5C higher on idle, and warming up much faster when under use...
Since now I'll use compound exclusively, unless I'll have the new heatsink with pad already attached, and matching or exceeding the size of the CPU chip itself.