Call Intel's warranty hotline and provide them the serial number.
They will ask you to mail it to Penang along with the original heat sink and fan.
There are also some ticket/case number that you need to write on the package - just follow instructions from the service desk agent.

RMA process is very fast, will only take a week or so.
The new processor will be mailed back to you.

Paying for the courier fees is cheap and I recommend that you do it yourself.