If you are screwing the star down, or if the flashlight otherwise clamps the star against the heatsink, then CPU thermal compound is a fine thing to use. If you are depending on the compound to hold the star in place, use a thermal glue of some kind.
There are small differences in conductivity between cheap and fancy thermal compounds, but they are all so much better than using no compound as to be functionally identical to each other. I have seen test results showing toothpaste, Vegemite, and plain water as being equal to or better than high-end thermal compounds-- at least while they are still wet.
More expensive thermal greases may last longer before squeezing the oil out and becoming dry and therefore less effective. Adhesives will exhibit no such problems.
