i have pretty much that exact configuration, my only problem is power, i don't have anything at the moment that can push 4.5+ Amps on the 5 Volt line that the PPC needs. the standard 1200PSU i have only pushes 3Amps on the 5V, so she won't even fire up.
anyway...
when i get the power sorted, i do have a heatsink on the 040 from a pentium1, and dirty great fan replacing the standard ppc fan, which pushes a good airflow across the 040 heatsink from the PPC heat spreader. (just leave the cpu slot trapdoor off :roll: )
if you can, i would get a heatsink put on that permedia2 chip too, as it is rated to, and can reach up to 85 degrees celcius :-o
anyway, as soon as payday hits, i'm getting an 060, a soldering iron (plus a nano ITX PSU). should ease the power requirements and heat issues.