Actually, it is hard to fry by heat as they will try to throttle or shutoff if they detect too high of temps.
They can short out however, and if that did happen, it was probably not your fault. A while back, when I got my i5 750 (which uses a similar LGA/socket design) they had a batch of defective motherboard sockets. At OC and even stock loads, some of the pins could short, killing the CPU (and anything nearby). In these cases though, a clear burn mark could be seen on the base of the CPU.