Ignition module new but didn't come with no grease.
If you cleaned the old thermal paste off the distributor, this is your problem. If you didn't clean the old paste off, there's a fair chance it's still your problem.
You need to get your hands on some thermal paste. If you know any computer geeks that build their own computers, they'll have some. If you google "thermal paste", you'll have a bunch of links to buy a little tube. Brand doesn't matter much, even the cheap stuff works.
The thermal paste conducts heat from the ignition module to the body of the distributor to help keep the module cool. Without the grease the modules can crap out pretty quickly and leave you by the side of the road.
When applying the paste, you want a thin layer that completely coats the exposed aluminum of the module.