Exactly right, Grizely1. The best thermal conduction you will get is direct contact between the heatsink and CPU. Of course, there will always be tiny little gaps in there. The world is an imperfect place. These gaps would normally have air in them. Air is a poor conductor. A thermal gel, i.e. Arctic Silver 2, is a better conductor. So, ideally, all the gaps would be filled with the gel, but, you wouldn't want so much gel that separation of the HS and CPU occurs. Your main objective is to keep air bubbles out of there and not have it gooing all over the ceramic part. It's really that simple.
For people that have way too much time on their hands, "lapping" the HS can get you a little(repeat: little) better heat transfer.