The dual-core Penryn coolers are substantially
smaller than the standard Core 2 Duo coolers you're likely accustomed to. My E6850 cooler had a copper core that was something like 1.25" in diameter that traverses the entire thickness of the sink, and the entire aluminum fins were probably 2" tall and ~4.5" in diameter. My E8400 cooler, by contrast, was entirely aluminum, about 1" tall, and the same diameter.
Overall, I'd expect the E8200 to overclock decently; my E8400 did 3.6Ghz (20% overclock) on stock voltage of 1.1125v bios setting (about 1v even according to CPU-Z while under load).
So, here's a suggestion: go looking for people who aren't using their old stock copper-core C2D heatsinks. One of those would be double (or better) the cooling capacity of the stocker that comes with your E8200, but at the same time would be ridiculously cheap -- hell, they'd probably ship one to you for the cost of shipping and maybe a few bucks to cover their trip to Kinkos / Mailboxes Etc.
If I still have my E6850 sink, I'd give it to you for the costs of whatever shipping you want.