for learning how to Build a pc - I Found one of the best from youtube (its about 1 hour split in two parts)
Part 1:
*www.youtube.com/watch?v=w-uHmL7Y2UU&feature=related
Part 2:
*www.youtube.com/watch?v=wPB3HcMjf2E&feature=related
On your stock cooler heatsink the thermal paste is pre applied but if you are buying a 3rd party heatsink you would have to apply the thermal paste (it comes with heatsink) or you can buy some good thermal paste if you want better cooling.