FWIW the computer magazine I read tried a stack of different heat-sink compounds and there was naff-all difference between the most expensive and the cheapest. The application and smoothness of the surfaces was far more important.
Yes, the COP overheat protection is supposed to shut down the computer, but I havent't read how it does that. Your lock-ups may or may not be heat related - to the CPU - If the inside of the case is getting too hot it might even be the memory locking up ... ? I leave the side of my case off and have found it runs a good 6° cooler by doing that. If you do the same and the lock-ups disappear then that's a pretty good indication of it being a heat problem.