If you used the Share button and the surfaces that are supposed to be touching light up, then you don't need contacts.
If you don't use the Share button, then you do need contacts and the default is to assign zero thermal resistance.
If there is zero thermal resistance at the interface of two materials, then using the Share button gives you that effect.
If you want to insert a nonzero thermal resistance at the interface, you can do that on a bonded contact in the details panel.