Welcome to the ROG boards, GUNNY1966. Good choices you've made there.
If you want to further bling the HAF X, you'll need to get another 200mm red LED fan for the side panel, and another 140mm or 120mm for the back exhaust because the ones that come with the case is a boring black. If you want more lighting, look into the NZXT HUE or their cheap sleeved leds. They'll make the insides of your case look wicked.
You know what would make the rig look even cooler? Sleeved cables to match the ROG themes. If you're not into sleeving your cables, you can get the Bitfenix Alchemy cable extensions for the CM 1200W Pro Gold. They come in variours colors to work with.
Regarding the NZXT Sentry fan controller, I always wanted one of those too because they look pretty sweet but I've read a lot of reviews about it making the 200mm CoolerMaster fans produce a rattle. Apparently the controller doesn't have enough amps to power those fans. So you might want to check into that.
I don't think you'll need the thermal compound to be honest. In the past, Corsair H100 used thermal pound from Shin-Etsu which is one of the top of the line TIM.