follow their instructions, 1 mistake a lot of people make is too much thermal paste, basically you want a thin even coat over the core, some people prefer to spread it before applying and some prefer to put a dab in the middle and let the heatskink and let gravity do the rest.
I prefer to spread it before applying, just make sure its a even and thin coat, you dont want it looking like a peanut butter and jelly sandwich when you put on the heatsink.
Oh and if your going to use fingers to spread it, put your finger in a plastic sandwhich bag and spread it, a non powdered latex glove, or a non lubricated condom.. the reason is oil from your skin will vaporise once the cpu heats up...
If its a small cored GPU such as a 9800pro, than apply a thin, even layer to the core, if its a heatspreader or large core such as an FX5900, apply as you would to a P4, small BB sized dot in the middle, and then let the force of the heatsink spread the paste.