Your cooler should come with thermal compound already applied. However, if you want the best possible heat transfer, then youll need some Arctic Silver 5. All the relevant instructions and cleaning info can be found on their website.
If you're NOT using the stock cooler, it may well be worth finding out what thermal paste comes applied on your cooler. I found out my Arctic Cooling 64 Pro had MX-1 pre-applied which is just as good as AS5 - saved me a job
You don't actually NEED an anti-static wristband. When building mine I just touched one of the copper pipes on a radiator every 5-10 minutes. However, if you're really paranoid then spending a fiver on a wristband is good peace of mind. After all, whats a fiver when you could fry a 300 quid component lol. You can get wristbands from loads of places, just Google it.
The only other things you need to build a PC is a clear working area, preferably on a desk. Get EVERYTHING out of its boxes - but leave in anti-static bags - and check nothing is missing or visibly damaged. Then go ahead and build your pc
Make sure you have a screw driver too lol
EDIT: Its also handy to have another computer, preferably a laptop, close by in case you have trouble with something. Obviously if don't have another PC you will just have to muddle through
SiriusB