have you checked the "Clear CMOS" jumper? i've heard some of the boards have come from the factory on the wrong pins, meaning that it will clear your BIOS settings each time you reboot. that would account for your changes not sticking. just a thought.
have you tried using the AI Booster program to overclock instead of using the BIOS? for some reason I can't change my FSB in the BIOS but i can change it (and it will stick) in the Booster program. also, what kind of RAM are you using?
it all depends on what RAM you're using. if you've got some spanking new pc8500 you can probably hit the 500+ FSB mark. i'm currently stuck at 850 mhz because my ram is only PC6400 (800 mhz). anandtech actually mentions this in their article.
if you're going to be running the thing stock then don't worry about it - the heatsink that comes with it was included for that very purpose.
should you decide to remove it and use your own paste in the future you can always use a paper towel wetted with household isopropyl alcohol. it comes...
it sounds to me like it's not mounted correctly. i have a scythe mine (very similar to your ninja) on a p5b deluxe and it was an absolute bitch to get mounted... stupid LGA775.
i idle around 38C and get up to around 54C under high load. your temps suggest that it's not mounted completely flush...
e6400 retail with a p5b deluxe bios 0507, corsair xms2 pc6400 4-4-4-12, and scythe mine. :p
still looking to push it a bit further. seems stable enough, although i haven't run prime95 yet.