the cpu cooler comes with the thermal paste. A few pointers though:
k series cpu's overclock, but you only have a b150 chipset, which doesnt support overclocking, so you should either swap to a z170 chipset motherboard, or get a non k cpu, imo
Next, you may want to look at 16GB RAM, as 8GB tends to not be enough, as I have found, games like GTA V use 8GB alone, and I think this is gonna be much more common in the future.
You should also pick up a cheaper PSU, as there are models just as good for maybe £15 cheaper, it just seems a waste to spend £85 on a 650W, as I bought a, admittedly used, Corsair AX 850W fully modular 80+ gold psu for that price not too long ago!