[NAME]  Which i9 processor are you getting, specifically is it K or non-K?  I'm not sure that you will get the error unless you fit a K processor. As to what you'll need, the threads in the mounting pillars are M2.5 and not very deep, so you will need two short M5 screws, washers etc.  You will have to make up a wire to go between the two screws with suitable ends for the pillars / screws.  I think someone has made the link with something as simple as a straightened paperclip.
I got an XPS 8940 with the stock i5 CPU. I am upgrading to an i9 as well as to a more premium cooler.  My system did not come with the VRM heatsink. I know that I could bypass the VRM heatsink BIOS error message by shorting or bypassing the two metal connectors with a wire. I have the heatsink on order, but I need a temporary fix. My question is, where would I purchase a simple wire to fool the system from thinking there is a VRM heat sink attached?  Thanks, Shawn
XPS 8940, buy a VRM heatsink bypass wire?