i would highly recommend getting:
ATCTIC SILVER 3 Thermal Compound.
You can get it at Newegg, Googlegear or any other local computer store like Fry's, CompUSA.
costs around $6 for a 3 gram tube or $11 for 6 gram
get a 3 gm tube and that should last you like for about 20 cpus (maybe even more) LOL.....you only use very little of it (less than 1/2 of a pea)
you can even continue using the pad that comes installed on your heatsink.....that will be fine too. Atleast we are not using Athlons where heat is such a major issue.
PS: I used pad for about 1 week but later switched to AS3. temp difference ~4-5 C.
my cousin was using pad on a duron.....he switched to AS3....temp difference ~20 - 24 C
so it all depends. Make sure that your temp on a P4 at full load doesnt crosses 60C (to be on the safe side). Idle should be low 40s at the max (idle: 37, full load 50 here)
hope that helps.