Firstly, welcome to the Forum
Initial thoughts. Don't skimp on the power supply, that's the most important item of all as everything depends on it. The one you've chosen is an excellent choice - stick with it.
I'm not familiar with the OCZ cooler but for that price you may be just as well off sticking with the cooler that comes with the CPU if you buy the retail version.
Here's a link to the final page of a review for the OCZ cooler, the conclusion - make your own mind up -
Link. Myself, I wouldn't buy it, I only think it's worth buying a seperate cooler if you spend a little more money, Thermalright, Noctua, Scythe & Zalman are good.
Yes, you do need thermal paste and general consensus has it that Arctic Silver is best. Last I looked it was about a fiver a tube, there are instructions on it's application at the Arctic Silver website.
You could save money on the processor and get a Q6600 at 2.4Ghz and quite easily overclock it to 2.8Ghz, especially with the memory you've chosen. Even running it at stock 2.4 speed there's little difference to be discerned.
Putting a machine together now is pretty much the same as it was when you built one ten years ago, if you're unsure of anything, ask away here. And the components you've chosen look good to me.
And how's firecat?