I drilled and tapped the heatsink for M3 setscrews, and then used 1200grit waterpaper on a finishing block to smooth it off after relieving the threads around 0.5mm. Heatsink compound then used in a thin film between the 2 surfaces, and tighten the screws to the right torque.
The centre slug is aluminium, and the whole thing is an extrusion. Some have a copper pad fused to the base to improve thermal contact, but nothing there is terribly hard to drill. Very soft metal does bind the bit though, I always use cutting paste or oil on the drill bits, and a drill press. Better quality drills are also good, the ones that you buy cheap in a OHL store are not the best quality.