I used the thermal compound that came with the shuttle.
I put a slither along the CPU
Then a bit more
Then I spread it out. After I did this this site was pointed out to me http://www.arcticsilver.com/arctic_silver_instructions_big2.htm from reading this I suspect I used too much themal compound.
Then put the heatsink fan assembly back. I tightened up the screws using a screwdriver (I'm not sure if this is supposed to be a tool free operation but I found it easier to use a screwdriver) I tried not to overtighten, but its difficult to know how tight it needs to be.
Put the fan socket back.
Put the fan duct back.
Its quite difficult to get all the bits of the fan duct to fit in at once, I had to take some time making sure every thing was lined up befor pushing back in.
go on to installing the cage.