No. The CPU's that we worked with didn't run exceptionally hot besides Pentiums, and we just stuck really big heat sinks on those. We used some ESD-proof glue from Fry's but no fancy schmancy thermal compound. This is a number of years ago, mind you, and we were working on computers on the verge of being outdated.
I did find an old K6-2 system with no TIM-paste on the heatsync once, but that's the only machine I've ever seen (that needed a heatsync) without it, and it actually turned out the reason it had been decommissioned was because it overheated.
Most of our systems didn't need heat sinks
What were you working on, then? Even Pentium IIs needed heat-syncs, even if they came pre-attached.
Pentium II's run hot af we used big ol' heat sinks
Then there should have been TIM paste between the chip and the heatsync.