You don't need anything else. The CPU will come with a cooler that has thermal paste already applied. With the stock cooler id use the stock paste. You only need thermal paste if you remove the cooler to reseat it.
You could use some fans, possibly, but I cant be asked to go dig up your build thread to check. Again this can be a personal taste option. If you would like lower temps, but dont need them, or you need lower temps, fan upgrades could help.
You dont need any LED fans or device, but doesnt hurt to have them.
Do you need a static discharge strap, no..not at all but if your mobo short out from static electricity dont blame us :p
Just put the disc in the tray, and you MIGHT have to hit F to choose to boot from your DVD Drive.