i7 920 CPU doesn't come with thermal paste for the cooler?

Most vendor-supplied heatsinks come with pads on the heatsink which do the job of thermal transfer compound. There would have been a cover on the bottom of the heatsink protecting it until you installed it.

I am in full agreement with Dentrasi. You definitely need to go get some thermal transfer compound. The money you spend on the heat transfer compound is cheap insurance to keep your processor from burning out. The thermal compound is essential in bridging the small gap between the processor and the heat sink.