I am running water cooling. Simple Copper block drilled passages with a radiator and reservior.
This thread shows my old setup with the Celeron.
I have since updated to the P4 utilizing the existing retention mechanizm. I did this by making an Acrylic block to hold the copper water block in place. Adding a shim to get the block on the core should not be a problem.
A rough drawing can be found four posts down in
this thread.
I am using distilled water. Hope that answers some questions.