In this case, is overheating around the voltage regulator still enough of a concern as to warrant a heatsink?
Most all voltage regulators have automatic self-protection features from over current or over temperature conditions, they simply shut down until the condition is cleared. So no real harm in just testing your application to see if it performs OK over time. If the regulator shuts down it will just cause a power reset condition when it returns on.
How would I even apply a heatsink to the voltage regulator? Any suggestions as to how and which one?
If the above test shows that the current draw/heat dissapation is a problem I think your better off using a external regulated DC supply (or battery supply) to power the loads rather then trying to modify your Mega board.
Thanks,
eqfanatics