As I've found, there are two kinds of power resistors. First, the ordinary leaded axial type and the big ceramic tube wirewound type. Those don't rely on external heat sinking (though they benefit from not being right against the board or anything you don't want getting hot.)
Second, surface mount power resistors, power resistors with obvious heat sinking tabs (TO-220) or other attachment points. This includes all the fancy non-inductive RF load resistors that are rated up to a GHz and stuff. Those all need heatsinking of some form to achieve their ratings.