I did stick the IHS back down. I first applied the TIM to the naked CPU, then put it in the socket and put the IHS on top of it without any glue/tape or whatever. Then just make sure when closing the socket everything stays in place.
I feel it makes it easier to mount your cooling and there is less change to destroy your CPU. Also, I think I could only get a very, very small temperature drop if I would go direct die.