If you are buying a PIB chip, the hsf comes with TIM pre-installed. Toms did a review of Intel's TIM, and it is top notch.
If you are buying an aftermarket cooler, most of them come with some form of TIM. You have to do the install of interface material on most.
If you are buying a retail CPU you will get a cooler in the box. This will have the thermal paste pre-applied to it. Be careful when you are mounting the cooler and follow the instructions. Do not disturb the thermal paste while you are handling the cooler.
Read the instructions - some of the pads have a clear plastic protective cover on them which you need to peel away before mounting it on the cpu,
If you have any temp issues read the threads on temp monitoring - The new Intel CPU's can be a bit tricky to monitor the temps ... often they report incorrect temperature ... rarely are they actually high.
Use the search threads box at the top for more help.