As j mentioned, you can simply "pop" the heat sinks in place. It is hovever a very good idea to install heat sink compound to improve the performance of the heat sinks though it is not a neccesity. Heat sink compound can be found a number of places, or your E-flite dealer can get you some of this as well:
http://www.horizonhobby.com/Shop/ByC...rodID=EFLM1913
You can see some additional tips on installing the heat sinks (and Aerobatic Enhancement Kit when youre ready) in the article found here:
http://www.horizonhobby.com/Explore/...ArticleID=1461
Theres also a ton more info on the Blade CP found in the thread here:
http://www.rcgroups.com/forums/showthread.php?t=377569
To help keep this thread going, lets make sure to spell the brand name right in the title though - it should be "E-flite" and not "E-flight"
Jason Merkle
E-flite Product Manager
Horizon Hobby
http://www.horizonhobby.com