A CPU's thermal design power (TDP) is linear with how much power a CPU produces but it's main purpose indicates how much heat a CPU cooler needs to dissipate, so it isn't directly the power consumption of the CPU it's about how efficient your cooling method needs to be.
Higher isn't necessarily bad, as sometimes that extra power and heat is warranted. But generally yes, you want low numbers in terms of how much your cooler needs dissipate and how much power and heat your chip is dealing with.
If you can get the heat off the chip higher or lower means nothing really, as long as the board can support it. If you are running stock or sub par coolers lower would produce less heat. However, turning up voltage to OC increases heat on the chip regardless. So a lower TDP chip at slower speeds may be hotter at the same speeds of a higher TDP chip. Im running a 95w Chip but my board supports up to 125w which with the same 212 EVO on, the 125w would run hotter, but requires less extra energy to reach higher clocks, as it is higher regardless.
(965 vs 8350)