DEFINITELY get thermal paste on there ASAP. You're lucky you haven't killed your
CPU already in my opinion. That all sounds like overheating problems - so give that a shot. I've seen quite a few people lately with Core i5s who are claiming they didn't recieve thermal paste with their
CPU, and Intel made no mention of having to use it. I can't imagine what's going on here, but I hope someone didn't miss a step in the packing department at Intel... (ps .. my Core i7 came with thermal goo ...?)
As for the Wave keyboard drivers - I'm using the same keyboard on Windows 7 RC x64, and I've had no issues. The newer version of the logitech driver shouldn't give you the incompatibility message, but it's safe to ignore it if it does anyway.
edit - Wait, Intel heatsinks are usually pre-pasted with grey goo from the factory. Maybe that's why it didn't come with extra? When you take off your heatsink, make sure there's not already some goo on there.