Lets leave overclocking alone for now. If you feel the computer isn't fast enough once it's built we can talk about it.
But to answer your question, you will need an upgraded Heatsink and Fan(HSF). I recommend the Cooler Master Hyper 212+ as it offers good cooling performance and is only $30 shipped. If you decide to order it remember to order thermal paste with it. Artic Silver works good and is only a few dollars.
When you get the processor it will include a heatsink as you are ordering a retail version(OEM doesn't include HSF). This heatsink is simply adequate to prevent the processor from cooking itself. It will support the processor at its stock speed and that's about it.
Once you get the system built and are satisfied with the performance at the stock speed I will walk you through undervolting the CPU. What this does is simply decrease the voltage to the processor and in turn reduces heat. I am all for running as cool as possible
Here are some comparative pictures of one of my systems that uses an Athlon II 435.
Stock heatsink and fan:
Aftermarket heatsink and fan:
This system is a Dell OEM and is not overclocked at all as it is not capable of overclocking. The stock heatsink idled at about 40C and peaked around 60C under 100% load. The aftermarket heatsink idles around 30C and peaks at 42C under 100% load. What people don't realize is that the motherboard is also cooled by the cpu heatsink and fan. The southbridge temperature with the stock heatsink was at 77C under 100% load. With the aftermarket heatsink it never goes above 55C. This is due to the greatly increased air movement in the case.
To me the cooler a component runs the longer it should last.
If you just want to run at stock speeds and have everything "within spec" just use the heatsink and fan that comes with the processor. If you want to go above and beyond grab the 212+