As Adeptus said, you should only buy an after-market heatsink if you want a less noisier computer or if you want to overclock. Overclocking with that Zalman won't get you far but you'll juice some Mhz out of the Q6600, specially if it's from the G0 branch (less heat, hence more room for overclocking). However, for serious OC, you should get a Tuniq tower (or even a water cooling system, but that's off the budget)
Overclocking can be quite fun (and also risky sometimes if you do not know what you're doing) and it will surely bring you more performance. Nevertheless, it isn't an ultimate need to overclock but it surely is useful.
Honestly, Intel's stock heatsink sounds like a freaking airplane, imo, even if you don't intend to overclock, you should get either that Zalman or even a better one.
/ 
