Yes, you will need a better heatsink. The stock coolers on the 45 nm Intel CPU's are about half the size of the ones on the older 65 nm CPU's. So there is very little reserve cooling capacity. They are just good enough to run the CPU at stock speeds.
Two good choices and under $50 are the Sunbeam Core Contact and the Xigmatec HDT S-1283 Dark Knight.
Xigmatec Dark Knighthttp://www.newegg.com/Product/Product.aspx?Item=N82E16835233029
This assumes that they will fit in your case. A case that's good at moving air through itself is also good.