There have been a few threads about this on here. Try using MRoogle for "thermal paste" and words like that.
From what I've seen, it makes some difference, a few degrees C at idle. Not as much as some "OMG Apple puts on so much paste" people would have you believe.
I think that the fan control algorithm is designed to keep the CPU at a pre-determined full load setpoint (eg 95 C). If so improving the thermal conduction will keep the CPU at 95 C but using fewer fan rpm - so no real gain. Unless you install some fan control firmware as well.
But if you want to do it & have the skills, why not go for it?
I would be very interested in some controlled before-and-after temperature tests, not just of the CPU but of the heatsink, enclosure etc. running the same full load program eg Cinebench or "yes > /dev/null" x 2.
Have fun!