Sometimes the thermal compound that comes with a cpu heatsink is very good and sometimes it isn't. try the stock thermal compound first. If results are not satisfactory, then try a third party compound. That's one of the fun things about building your pc. You can experiment to find out what works best for you.
The last time I looked there were over 80 brands of thermal compounds in a variety of categories. Just about all of the veterans have their own personal favorites. For example, I have had very good luck with IC 7 Carat Diamond while another veteran may swear by Arctic Silver MX3. If six veterans posted their preference I would not be surprised if each one preferred a different compound.
I absolutely, positively, 100% guarantee individual results will vary!