You can use a TIM (thermal interface material) / "thermal tape" as linked if you want and they are electrical insulators which is useful sometimes, but they also conduct less heat than thermal compound and thermal adhesive (AKA thermal epoxy). They can be good enough in many cases. They generally do not stick THAT well so I wouldn't suggest relying on it to keep your heatsinks stuck to your ICs, unless your heatsinks are very small and you won't be shipping it.
Thermal "compound" is generally NOT considered the adhesive type. Compound would generally refer to something more basic like Arctic Silver 5, Arctic Cooling MX-2/3/4, IC Diamond, etc. It will be a little bit tacky but won't be useful as an adhesive whatsoever. It can't be trusted to insulate electrically because when you screw down your chip/heatsink, the layer will become very thin and will probably partially insulate, but not enough. If you need electrical isolation with thermal compound, there are some special insulators you can get (some of them are made from mylar, but not all mylar works for this) that will do that - but then they will lower the conductivity anyway.
Thermal adhesive / thermal epoxy is basically epoxy with thermal compound in it so it both sticks and conducts heat (generally better than the TIMs). It takes some time to cure and you're unlikely to be able to remove the heatsink from the chip without damaging the chip. It also cannot be counted on to insulate electrically. Note that Arctic Silver also offers a thermal epoxy (as do many other manufacturers of regular thermal compound) - make sure not to confuse the two. I will also note that you shouldn't really rely on thermal epoxy to keep your heatsink on in some cases either. It will stick better than the TIMs but if it's not bolted down, it can rip your chip right off the board if subjected to mechanical shock (e.g. if you ship it). Depending on the size of your heatsink, the size of the chip and how well it's soldered to the board, and some other factors, it may or may not be acceptable.