You did not say what type, but since some people (including me) swear that changing it for "NO reason" helps is a critical situation (or when things get flaky) I'd say that at the difference in cost of a small tube or a CPU, why even think about not doing it...
Note a good clean up is required if changing brands or types. Rick Glazier From: "Winterlight"
If you remove the heat sink from the CPU do you always need to remove and replace the thermal paste when you put it back together?