Intel won't shut it down in any case. It will set a flag and its the bios that should shut it down. This flag is set already during a time where the CPU might take damage. This is so by design. And its why Intel recommends the CPU be shutdown prior to the flag being set. The CPU failsafe mechanisms have been already active for some time and have been trying to cool down the processor by throttling it. These failsafe mechanisms may however fail to do so. Usually because there's a cooler failure. If the last of these mechanisms runs for a given amount of time and the temperature still hasn't dropped below TCC, the CPU will be shutdown prior to the flag being set. Usually half a second or more before that, for most of the Nehalem architecture.
Also, as Fiery already mentioned, heat spread will affect the other cores anyway. At the speed things work (TCC operations are clocked at ms), no human being could possible be able to monitor temperatures and have fast enough reflexes to disable a core before its heat spread reached the others. Before you can even realize for sure that you had to click something, the CPU had already finished TCC and temperatures were already returning to acceptable levels, or in the worse scenario it had already shutdown the cpu.
Let the CPU do it's thing. It can do it infinitely better and do it with much more knowledge about its internal conditions that you possibly can.
