Every time I have ever removed a spark plug and the threads came out with it the reason was because they were clearly installed dry. Not such a big deal with hot rods and such with short removal intervals but the newer engines with double iridium that are supposed to be in the engine over 100,000 or just lazy people running others that long is where they get siezed in the head and ruin the threads. On customer cars I always use something because you never know how long they will try to run before they ever replace plugs again. A mechanic with any feel for what he is doing can tighten it without stripping it.

As for heat transfer, if anything it would make the plug run colder not hotter, only silver conducts heat faster than copper, the copper will transfer heat faster as the particles fill space and make more contact with the steel on steel or steel on aluminum.