If you are careful, you don't need a shim, and I've heard bad things about them, particularly if you buy the wrong size and it doesn't allow for the heatsink and core to make solid contact.
Here's some things to look out for with any clip-based heatsink attachment:
1) I would lay some electrical or duct tape around the socket area on the motherboard to avoid cutting any traces.
2) When mounting the heatsink, pull the clip into the position it would be in if it were attached to the socket mounting.
3) Gently place the clip without the wedged opening over the bracket opposite the side that says "Socket 462". Pull it tight and line up the other end of the clip to the bracket. Gently lay the heatsink onto the processor and try not sliding it around much.
4) Most people use 2 screwdrivers for attaching the second clip, but I prefer 1 small flat-head screw driver and a set of needle nose pliers. You want to wedge the flathead screwdriver (make sure you use one that can fit fully into the wedged opening) and apply *solid* downward pressure on the clip. When you are inserting the HSF, this is usually enough. If not, use the needle nose pliers to guide the clip over the latch if you are worried about applying too much pressure with just the screwdriver. When removing the heatsink, the true value of the pliers really comes through, as you need to push down on the clip and also outwards to remove the clip.
Chiz