shims are to protect cores from the burdens of a hsf...
Of course, damaging the core with the hsf is obviously a user error and is quite uncommon if you take your time
Shims have little or no effect on heat dissapation.
In extreme cases, shims have prevented the hsf from fully touching the core and resulting in a dead cpu
You do not need a shim, as they are more of a hassle..
But if you are getting one, i reccomend copper shims (over alu or whatever else), and i also reccomend that it is nonconductive