If you're not overclocking, you don't need an aftermarket HSF. As long as you bought a retail version (i.e. boxed), you get a HSF with the CPU. If you bought an OEM version, you will need an aftermarket cooler.
Most HSF come with compound preapplied. Unless you're trying for a massive overclock, you don't need aftermarket thermal compound. Thermal compound can be bought pretty much where ever you buy components (Newegg, TigerDirect, etc).
Most CPUs will come with a heatsink and fan.. as long as you bought a RETAIL version. If you bought an OEM it will not come with anything but the processor.
You can find thermal compound where most of us like to get stuff... newegg.com :-)
I Recommend either Arctic Silver 5 or Arctic Cooling MX-2.
By custom, I hope you mean homebuilt and not a prebuilt like those from CyberPower, IBuyPower, etc. You'll save a bunch by building it yourself, ensure you're getting exactly what you need, and make sure everything is quality, not to mention that you'll learn a lot.
Make sure to come on back for a double check of your parts list. I'll be willing to bet we can either find you some deals to save some cash or find ways to improve the buid.
Yes I do mean homebuilt, here is my parts list, and everthing has already been ordered! ASRock m3a77ode, am3, amd, 770, crossfire capable mobo,Rosewill black steel/plastic atx mid tower case, GSkill ripjaws ddr3 1600 4gb memory, microsoft windows 7 for builders 64-bit, seagate barracuda 7200 rpm, 32mb cache 750gb hdd,Lite-on 24 dvd w lightscribe support,AMD Phenom 2*4 965 Black edition 3.4ghz quad core 125w,Sapphire Radeon HD5850 1GB 256-BIT DDR5 Graphics card, Antec Earthwatts 500 watt EA-500D, Do you think my power supply is adequate? Thanks for all your help!
40 degrees is more reasonable. 56 is pretty high. I would definitely consider getting an aftermarket cooler even if you don't overclock. You may also want to consider adding some case fans if possible.
A better test would be running Prime95 for about an hour. You wouldn't want the temps to be above 50 C, but that won't be the actual maximum the CPU can handle. I'm not sure what to maximum temp it can reach without being damaged.