I have removed CPUs a number of times, and never bent any pins. It is not a big deal that the CPU comes out attached to the large heatsink. If one ruins the silver thermal double-sticky interface, then completely remove it and use standard thermal grease VERY sparingly (want a *thin* and uniformcoating). So even if you buy a large 2oz tube (good for at least 10,000 years of use), it will cost far less than thesilver stuff, and will be a hell of a lot easier to obtain.
Assembly? Just do it in the obvious order: drop in the CPU and lock it in place with that bar, lower the heatsink while smearing it around as much as possible (to push out air bubbles and make that filmas uniform as possible), and lock the heatsink into place. Takes only a few minutes for assembly.