Cooling for the p4 should just be a heatsink and fan that is designed to handle the 2.8 ghz. I recently bought a heatsink and fan that was designed for processor speeds of under 3.0 ghz for $40.
I don't think you can necessarily ruin a processor by adding too much, but adding too little will cause the heat to stay inside the processor, thus frying it. They recommend that you add a thin film. As long as you aren't caking the stuff on, it should be fine.