Will changing CPU from a Penryn T8300 to a T9300 or T9500 affect or void the LenovoThink plus waarranty on a T61P ?
Short answer: Yes.
Long answer: The CPU is usually not considered to be a CRU (="Customer Replaceable Unit"), like e.g. the keyboard or memory modules, so only a certified service technician may open up the machine without voiding warranty.
But if you are able to do it very carefully without leaving any noticeable traces, and keep the old CPU around in order to swap it back prior to to have the machine being serviced under warranty, then this should be a minor concern. Personally, i wouldn't want to submit my still valid warranty to the risk of being voided just by a dumb negligence on my behalf while trying to do as described, and i definitely wouldn't recommend it either. But after warranty expiration, nothing would be able to prevent anyone from repairing his/her own machines to one's heart's content.