Well, you can mount it in which ever module you plan on using. Then, solder the wires on to the pins. If you plan on putting the silicon diode and cap, at the LD, you can solder those on there as well. If you do this, you want to use as little 'length' as possible, to allow more room inside. (under the heatsink)
If you can make room on the MXDL board for the silicon diode and cap, this gives you extra room between the driver and the heatsink. But it is pretty tight in there. When I do this, I bore out the aluminum mounting piece so that it has a little bigger I.D.
If you build your driver like this, it is important to remember to discharge the cap, after you test your driver, and before you connect your LD.
Here is another similar driver I just built:
Take your time on the driver, it is the most important part of the build. Also, be very careful with the handling of the open can, and watch out for ESD as well...
Jay