Thermal paste is used between the CPU and heatsink to:

A.
Make the heatsink easier to remove when replacing the CPU.

B.
Aid in the transfer of energy from the CPU to the heatsink.

C.
Act as a fire retardant should the CPU overheat.

D.
Keep the heatsink in place on the CPU.

Explanation:

http://whatis.techtarget.com/definition/thermal-grease-thermal-paste-or-thermal-compound