The chances are your CPU will be OK, just fit a cooler before you turn it on again.
I just built a new PC with a 6700K. I used a Corsair H110i GTX cooler. The SATA power lead for the pump and fans was not connected properly (doh!) and when I powered up the machine I didn't get any errors even though the pump and fans were not on (which you would expect normally).
While setting stuff up in the Bios I noticed my CPU had hit 98 degrees
!! So I shut everything down asap. It had been running about 5 minutes. I cheked the thermal paste for it melting and leaking out etc. and it was okay.
After re-applying the paste and connecting the SATA power for the cooler I monitored the CPU temps and it sat at about 19 on idle (same as ambient room temp).
So everything seems to be ok after a few weeks of daily use and even a bit of overclocking has seen the temps stay nice and low as I'd hoped. (Phew
)
Intel don't supply a cpu heatsink/fan as you are buying a K-series to overclock it and a stock cooler won't be enough.