Switching heatsinks is fairly easy. The only way it gets tricky is if the heatsink needs to be screwed through the motherboard to a backplate. In that case you have to remove the motherboard and attach the heatsink with it out of the case. Most heatsinks, however use the clips that are already on the motherboard socket so you would not have to remove it from the case.
As far as thermal compound is concerned, most OEM heatsinks that come in a retail CPU package have a pink or black bubble gum material on them. I personally scrape this off with a credit card and apply a little arctic silver instead. If you choose this method, be sure to use a credit card or something plastic so that you do not scratch the heatsink. I am anal, so I like to use arctic silver. Noticable differences between silicon, silver, copper, and ceramic based thermal compounds are subjective.
If you decide to go with aftermarket thermal compound and heatsink post here and we can guide you.