I'va also heard several tales of overheating caused by the shim being just a <b>FRACTION</b> to thick and causing the heatsink not to have sufficient contatc with the cpu core, as for the material its made of, it shouldnt make any difference as the shim is only used to help prevent damage to the core- it doesnt transfer heat. I personally wouldnt bother with one, if your careful fitting the heatsink there shouldnt be a problem.
Next time you wave - use all your fingers