No, it should be plug and play. The 4940 was offered with the 18 when purchased from Dell so there shouldn't be any issues dropping one in. 
Hello everyone, I own an Alienware 18 (ALW18-3006sLV). Is it possible to upgrade the CPU in this model with an Intel Core i7-4940MX (SR1PP)? I bought one and once installed all I got is a 7 beep code. Machine works fine with the current CPU (i7-4900MQ), so the motherboard is ok. The laptop is running under A15 BIOS. Am I missing something? Thanks in advance, this is driving me nuts. C.S.
18 R1, CPU upgrade help