Practically speaking, TO220 packages start to get fairly warm with 2-Watts or so dissipation, and no heatsink.
Also, in regards thresholds/etc, the most important thing is to look at the Id vs Vds curves for the device. This is figure 1 in the d/s for the FQP30No6L part from Sparkfun.
What you can see there is that the device is virtually turned-on as well for Vgs=5V as for larger Vgs values. For a non logic-level device, the Vgs=5V curve will be down much lower in comparison [similar to the Vgs=3V curve here].