You can drill and tap the heatsink pretty easily if you have access to a manual mill. I wouldn't tackle it with a drill press.
That said, even with mill access, I'd be highly tempted to use these: http://www.luxeonstar.com/Pre-Cut-Thermal-Tape-for-20mm-hex-Bases-12-p/lxt-s-12.htm
That said, even with mill access, I'd be highly tempted to use these: http://www.luxeonstar.com/Pre-Cut-Thermal-Tape-for-20mm-hex-Bases-12-p/lxt-s-12.htm