Hi
I got my heat sink, a chunk of Aluminium, machined it up into a nice disc, then drilled and tapped some holes that matched the LED's cut outs.
I had to use insulating washers as the screws would have shorted out the contacts.
I have taken some pictures for you to show what I mean.
If you don't have access to taps ect, you could alternatively use small (M3) nuts and bolts to attach it. Just make sure it is as tight as possible and that you use heat sink gunk.
By the way, if you can solder the wires onto the led before attaching it to the heat sink you should as this will make soldering a million times easier.
Tom