You can always remove the heat sink again and apply some thermal paste. You will want to clean it best you can, first. An easy way to clean the heat sink and processor's integrated heat spreader is, cotton tipped swabs and rubbing alcohol. Of course, if you don't have thermal interface material, you can't very well reapply it! Places like Newegg.com and Amazon.com sell it, or any electronics supply stores in your area. The idea is to use it sparingly. It will act as an insulator if you have any more than a very thin film coating the surface. The purpose is for it to fill any microscopic imperfections on the surfaces to bring them closer to flat, not to glue the heat sink to the processor's top.
On the other hand, if you choose to just leave things the way they are, you'll probably be just fine. You can check your temperatures using a software utility such as CPUID's Hardware Monitor:
http://www.cpuid.com/softwares/hwmonitor.html
You'll probably only gain a number of degrees of cooling by redoing your thermal interface material. If however you have an older style of processor without an integrated heat spreader, gains will likely be higher.
I would check your temperatures before you take all the advice given and become seriously concerned. It is only a recommendation to clean and reapply thermal interface material, be it paste, thermal wax, or other material. Even a bare heat sink will do the job, but the interface material helps the surfaces mate better to increase the efficiency of heat transfer. You're more likely for the processor to overheat from dust collecting in the heat sink's cooling fins than from a lack of thermal transfer material.