I've bought a Zoom H4N and a Heil PR-40 mic.
Will I need to buy a mic preamp to go with that?
Nope, you should be able to plug the mic directly into the Zoom, as the Zoom seems to have a mic preamp in it already.
Yes and no. It has preamps on it. That said the pres on it suck and I would recommend using an external pre. BTW I have a H4N and love it (for simple recordings using the internal mics.)