yup like steve-o said , wet it with a few drops with you get to the 1200+ grits. 2000 grit and compound are absolutely overrated. you want certain microscopic holes for the TIM to settle in. Whats more important is FLAT not SHINY .
Get a metal ruler and hold it over the CPU, then you know which bits to sand more. I used 1500 grit with water to get it nice and smooth after using 240 grit to get it flat. I went; 240, 400, 800, 1500.