I know for a fact you should get heatsinks for the VRAM and VRMs (green). Unsure about the blue section - it's usually cooled by the full cover blocks, but I'm not sure if it is necessary per se.
Pretty much any of those copper (or even aluminum) heatsinks will work. I found that the accessory kits for the Arctic Cooling aftermarket VGA coolers come with a ton of heatsinks and are cheaper than the copper ones. Used them on my factory OCed MSI Hawk 560Ti and had no issues with stability, temps, etc.