Some power resistors have a heatsink on them. But in general, you don't often find a scenario where you want to put a heatsink on a resistor.
As opposed to a semiconductor, a resistor
1. Has an increasing resistance with temperature, so it is somewhat self-limiting. There is no point of thermal runaway.
2. Can operate at a much higher temperature. The higher the temp differential to ambient, the greater the heat transfer to surrounding air. This means you don't get as much benefit out of a heatsink. If semiconductors could operate at 150C with no decrease in performance, you would rarely need to use heatsink for IC, either. (A resistor changes resistance, which is a change in spec but not a decrease in performance, per se... I.e., you could use a different resistor to get the resistance you need at 150C
)
Bottom line, it is usually more efficient (space and $$) to just use more and/or larger resistors than to add heatsinking to a resistor.