I am sure you will get better help then I can offer, but here is what I can without looking at it. The cables on the power supply will hook up to your DVD drive, hard drives, motherboard and most likely your video card, so with that, just match up to what connects, sometimes multiple things can connect to the same cords like hard drives and DVD drives.
No clue on the thermal paste question. Perhaps google?
And for the motherboard, it should have came with a book, a wide cable would hook up to the harddrives and DVD drives. while smaller cables hook up your USB and other random fans and your on/off and restart buttons.