Why Lap?
Due to the machining process, just about every heat sink will have a rough surface. To the naked eye it may look flat or even feel smooth, but there are microscopic groves in the surface. These groves will trap air between the heat sink and the CPU, and cause a poor transfer of heat.
Thermal compound is used to fill these groves and help transfer the heat from the CPU to the heat sink. Just like air, thermal compound is something else that the heat has to pass through to get from the CPU to the heat sink.
We lap the heat sink to make it smooth, allowing us to get the best possible contact between the CPU and heat sink. Even after lapping, there will still be grooves for the air to be trapped in, but the grooves will be much smaller, and cause less of a problem.