I think you are right about the soldering not being an issue anymore, as far as my limited knowledge expands I'm pretty sure that they use some sort of small clip\clips or locking mechanism to fit the processor in-at least for AMD\Intel. Fiddling about or changing the processor can still be awkward for a novice-and potentially very expensive if you screw up!-So if you are replacing the MB and processor for the first time then I think it would be worth consulting a knowlegeable friend or even paying a professional.
I really doubt that they make processors attached to the MB, but even if you have to pay a professional to fit the two seperate parts, in the long run it may be cheaper because one day you may fancy just upgrading the processor or just the MB and if they two are attached then its gonna cost you alot more mollah!
About the fan it depends what type of jump in processor power you are planning to make, if you are upgrading from an old 300 MhZ processor to a 3.06Ghz behemoth then yes! or even if you are changing from an intel to an AMD then yes, because AMD's run hotter.