thermal paste can also be cleaned off with isopropyl alcohol and a few qtips. i would advise being careful around small components to prevent it from getting some of the cotton caught on it. can be annoying to clean off. this paste would only be cleaned off of the included cooler or an aftermarket one, which are likely to have some pre applied to their bottom. if you do want to, you will need new thermal compound to replace it.
a standard philips head screwdriver will work just about every screen you will be working while assembling the pc. i would also suggest a flathead just in case but its more likely going to be used helping you remove case components if you need to get in to them.
as for a magnetic tool, you dont really need it unless you drop a screw in the case.
i would suggest some zip ties or velcro straps to help with cleaning up your cable management behind the motherboard as you're finishing. its not required, as it will not really harm air flow or cause any component issues if your cables are a mess back there, but most poeple want it neat.
another good idea is a clean and open work space. a large table or work bench will do well. you can even work on the floor if you like, as long as its not a carpet. i would suggest removing any loose pets from the room to reduce the amount of dust, dander, and hair they stir up and not working on carpet at all to prevent the build up of static. many people will tell you to get an anti static wrist strap to ground to the case, but you can also keep grounded by plugging in the power supply in to an outlet and frequently touching it or the case the power supply is screwed in to it and the case it metal.
if you want a strap anyway, they're cheap. you will also almost always have one included in a tool kit designed for computer or electronics work if you want to be extra prepared and get one.
be sure you have a simple mouse and keyboard ready, anything super complex might need drivers installed and that can be a hassle when first installing the operating system. make sure you have room to plug eveyrthing in when you first try to boot. this will likely be 2 plugs for the pc and the monitor but may be more if you're also using speakers or something else that needs plugging in.
lastly i will suggest breadboarding the main components before fully installing them in the case. this is plugging the cpu and cooler, ram, and gpu in to the motherboard, then connecting the monitor, keyboard, and mouse, and trying a boot. just to be sure you can get to the bios. closing up the box the motherboard came in and assembling everything on top of it is an easy way to be sure you have a nice nonconductive surface to work on. plug the power supply and monitor in to the wall, turn them on, and use a screwdriver to bridge the "pwr" pins in the io pins at the bottom of the motherboard to turn it on.
good luck!