If I understand the question correctly, you're getting a new CPU and wonder if you need to put some thermal grease on it. The answer would be yes, you do. Anytime a new CPU or heatsink/fan is installed, thermal grease should be put on the CPU. Of course, you don't have to do it, but without any thermal grease applied, the temperature will soar as there won't be sufficient transfer of heat from the CPU to the heatsink.
Of course, as jerreece pointed out, if the new CPU is coming with a heatsink/fan, then it probably has some thermal grease already applied, so in that case, more would not be needed.