The reason why you do not want to turn on a PC without a heatsink attached to the CPU is because prior to entering Windows, the CPU will be running at full speed. SpeedStep is loaded with Windows to slow down the CPU when it is not being stressed.
Thermal paste is necessary because it fills in those microscopic surface imperfection on the CPU and heatsink which can mean a 20C - 25C difference in temperature.
i thought i could be away without a heatsink to see if my q6600 would post. oh it posted and then turned into a $220 paperweight.