I have never used a shim, but if I did I would buy a non-conductive one rather than a copper one. I have read WAY too many woe stories about people shorting out their CPU when a shim moved on them.
The first time you put the heatsink on it scares the crap out of you, but if you hold it level and don't rock it back and forth you shouldn't have a problem. Practice putting the clip on without the CPU in the socket a few times and you will get the hang of it. The rubber bumpers on the ceramic top usually do their job if you apply equal pressure on the HS when installing it.