i'd say "most epoxies" are better insulators than conductors ... since they're basically just plastic
something like jb weld that has metallic filler in it is a better conductor than an epoxy with plastic filler
the real key to good heat transfer is making your interface as thin as possible ... so polish the end of that rod until it's mirror like, and the same for the back of the luxeon ... then use something like the Artic Silver line of epoxies - that's what they are designed for, very thin adhesive thermal interfaces.
if your rod gives you enough room to tap a few small holes, you could use a thermal grease and screws, improving your mechanical mount and your thermal interface
alternately, look into 3M 9885 thermal interface adhesive tape - I've used some to mount luxeons to aluminum heatsinks, and I must say it works very well. It's been some time now, and the luxeon are still firmly attached.
hmm, doing a bit more google turns up some rather bad news about the 3m tape from Purdue Univ.
**broken link removed**
I do know that my heatsink gets HOT after running approximately 10 watts of luxeons at full output for more than 10-15 min, so the heat must be transfering