Components
Screwdriver set get bunch of most screw drivers. Usually however STAR can do about everything. But get a flat just in case.
Cable cutter or scissors.
Tie wraps to tie up cables and hide them to not restrict airflow.
All the screw's that come with your case mandatory.
Some might suggest anti static wrist band ( However you can ground your self by holding the case, and holding anything that will take your static electricity away for a few seconds, think of power outlets and extenders have metal ground which you can freely touch for a few seconds to remove static.
Thermal paste quite obvious as you have mentioned.
ALL cables you might need which means. Monitor cable, power cable mouse keyboard etc.
Aside from that it never hurts to have reserve screws.