Nope. I'm not familiar with the specifics of the current Intel stuff, but I guess it'll have a thermal pad already applied to the heat sink, so you won't need to fiddle on with paste.
I like to take the pad off anyway and apply some decent thermal paste. In my experience the paste lasts a lot longer than the pads. On one cpu where I used the pad I took the cpu out of the socket one day and saw that the pad had pretty well completely melted away. That doesn't happen with paste. It might dry up over time though so should be re-applied and reseated after a year or two of use.