Different heatsink compound will make very little difference.
You can never get the CPU heatsink cooler than the air in the case.

As soon as you start a graphics-intensive game, the CPU, PSU and Graphics card are all dissipating lots of power and producing heat. The air in the case heats up.

The CPU will run eg. 20' hotter than the air around the heatsink, so that steadily heats up as well.

Improve airflow through the case or get a different one that has better airflow management.

Alternatively (or as well), get a sealed system liquid cooler, as they dump the CPU heat straight out of a case fan opening rather than heating the air inside.