The heatsink get me a thermal pad - remove protective foil, stick -> ready.
For cooling performance:
Without heatsink ~ 60 ° (800 MHz, 80% load @ OpenELEC)
With heatsink ~ 50 ° (800 MHz, 80% load @ OpenELEC)
Therefore, overclocked to 900 MHz and lo and behold: The maximum value is now back at 60 °.
Ergo: The heatsink reduce at me the temperature by 10 ° C - my RPi has a housing (without slots) and is on a shelf (no airflow). Therefore: For little money you can take with the cooler, more them but would also not worth it.