Dougie, because some Pi models get hot enough to throttle by merely opening a webpage and some of us hate tanked performance on an already limited system.
Yes, you can put any compound of thermal paste on your Pi. Be careful not to get it on other components as it is generally conductive.
Also note that the Pi has nothing to hold a heatsink in place, you may need to design a mounting system.
Google is ubiquitous - learn to use it!