Well, if you used a 0.1 ohm resistor, at 5 amps that'd dissipate 2.5 watts in total, so building one out of 'standard' 0.25 watt, 1 ohm resistors is feasible as long as air can flow around them freely (no forced air cooling required).
I've used this approach in the past often enough for RF dummy loads that needed to be 50 ohms and able to dissipate a couple of watts. Putting 20 perfectly standard carbon film 0.25 watt diodes in parallel worked extremely well. For RF application an extra benefit is that you reduce the inductance compared to using one big resistor.
But for laser dummy loads most of the power will be dissipated in the diodes, and when operating upwards of 5 amps it would just be most practical to get them in TO-220 cases and mount them on a suitable heatsink. Such diodes tolerate running at hot temperatures very well, a case temperature of 100 celcius is often not a problem for the diode, but will be for you if you pick the thing up by the heatsink
I've literally had rectifier diodes de-solder themselves (from lead based solder) that still worked fine after cooling down and soldering them back in