Its definately a very good idea to put some thermal paste on...its not hard at all. Make sure that both the CPU and the bottom of the heat sink are both completely clean, and then put a little dab of thermal paste, about the size of a tic-tac on the CPU core (the shiny part), and then install the heatsink.

Either way, you've chosen very wisely...the Sonnet upgrades are known to be very user-friendly, very easy to install, perfect for someone like you who doesn't feel comfortable mucking about with the innards of your Mac.