Most sites say the copper shims hold a degree or two although the non-conductive,
www.coolerguys.com shims don't exhibit this.
If you really want to use shim I'd definetly use non-conductive, although I just fried a chip and from what I hear there is very few situations (other than outright abbusive mounting techniques) where a shim will help.
Keep in mind that there is a tolerance level to CPU's, and there is also a level of tolerance to the manufacturing of shims. Thin CPU and thick shim and you'll fry a CPU, also look at the front page of
www.procooling.com he just fried a cpu as the shim was held up on one of the rubber pads.
I'm starting to think the only sites that promote shims are the ones that sell them, and those that are fooled easily. But the choice is yours.