Sort have thought the thickness would sort it self out under pressure.
Yes, up to a point but you don't want to over stress things. If headroom's not an issue then it probably doesn't matter which solution you go for. If it is and you're squeezing everything too tightly because the material won't compress down enough then you may be adversely stressing the PCB and CPU which, worst case, could cause a failure.
I've used mats that effectively don't compress at all whereas some of the pad materials compress across a wide range. In general, based on my experience, the highly compressible/soft materials have lower conductivity whereas the high conductivity ones are more dense therefore comparatively don't compress much at all. Fujipoly Xr-m (I think) has a high conductivity and comes in different thicknesses and compresses down to something like 50% of the original thickness.
Would pads be better id a little more pressure was required, such as an xbox/ps3 cpu/gpu
Pads would work but you'd need the stuff with higher conductivity than paste otherwise there's not much point IMO. No experience of Xbox/ PS3 apart from watching my son kill people on Grand Theft Auto.
Gibbo.