JB weld is permanent, making it good for memory and video chip heatsinks, but I really don't think you want to permanently attach your CPU heatsink. Radio shack paste is good for that, because it works well and is removable. The spongy feet are there to help prevent you from rocking your heatsink during installation, and even though they are not really needed are still a good idea to prevent you from doing so. You don't need a shim, just the heatsink and clip. The sticky stuff on the Volcano works very good, I tested it against other stuff with no real improvement.
For me to test other paste, I had to remove the sticky stuff from the bottom of the heatsink, and once you do, you can't go back to using the sticky stuff.
After I had tried both Radio Shack Silicon and Artic Silver II, comparing them to the original stuff, I tried buffing the scratches from the heatsink where it contacts the CPU die. I used a houshold Scotchbrite pad. This, in combinataion with paste, did yield an improvement. So if your going to remove the sticky stuff, you might as well buff the thing while your at it.
Cast not thine pearls before the swine