Oh yes, most definately worth the $5 it costs. A CPU shim protects the weak core of the Athlon processors when you install the heat sink. If you even so much as chip the core on the CPU all warranties are void. So think of it this way, pay $5 now and feel safe, or dont pay the $5 and risk it knowing if you screw up its another ~$200 CPU.
Me, I'd just buy the shim. Once the heat sink is installed the shim is just there, it serves no purpose while the computer is running, its just a worthless piece of metal. But while your building the PC, it can be a life saver.