You want to be careful with heatsinks, you really want the thinnest layer between the diode and the air, if it's too thick it won't shift the heat quick enough and have an opposite effect of what you are wanting.
Personally I would point you towards heatsinks for the case style TO5 and TO39 transistors.
Not sure how much you will have drill or open them out but definitely worth a look.
Would post a link but don't have authority.