Those aren't really designed to have heatsinks mounted to them; you may want to buy a larger regulator with a tab for bolting a heatsink on (TO-220 case, perhaps). Once you do that, you just need a boltable heatsink and some heatsink compound to go between.
For a TO-92 device, you might try to epoxy (I prefer 2-part JBWeld, personally - strongest stuff on the planet, I think - I have it holding together a backfire prevention valve on a 400ci V8 in my old Bronco, which is bolted directly to the exhaust manifold; I've also seen it used to hold together an aluminum blower on a large diesel engine for 20 years - so, if it can take that kind of temperature abuse, it will work good for a small TO-92 device!) a small piece of copper/brass/aluminium tubing over the device, and split the top 3-4 ways and spread the "fins". You can find such smaller tubing at hobby stores (they should carry a "pieces-n-parts" assortment bag of cutoffs that would work good; whole tubing can also be purchased). Be sure to have plenty of airflow.