This is because some people remarked the casing on chips so they ran faster, and then these got sold and a large profit was made. Now Intel has put a multiplier lock on CPUs so that the motherboard reads the multiplier off the CPU and it can't be changed. This means you can just change the multiplier settings on the motherboard. Read your motherboard's manual on how to set the multiplier. There are other ways to change the FSB though.
Heat is probably an overclocker's worst nightmare.
There are quite a few sites around that sell CPU coolers. The heatsink soaks up heat into metal fins, and then the fan pushes air through the fins which picks up heat and carries it away. Water cooling - This involves a water block attached to the cpu. Water picks up the heat from the CPU, gets pumped into a radiator, and then comes back to the CPU for more heat. The peltier is a device which uses electricity to transfer heat from one side of the peltier to another.