Stepper motors are designed and rated to be used as-is. First make sure you are staying within datasheet ratings + some margin (say, derate current by some 20%). If you still feel uncomfortable with the temperature, reduce current further, if possible, or pick a larger motor.
Gluing heatsinks on is a commonly used trick but really just an ugly hack. I doubt mounting a fairly small heatsink, as typically seen, does much difference. With a fan moving air around the motor, you have better chances to have a real cooling effect, compared to a small passive heatsink which maybe adds some 5-10% of surface area of the motor and does that through additional thermal interface which likely halves the gain.
If the motor has large even surfaces then of course you can mount heatsinks. Use standard heatsink compound. It works given the gap is very small (say less than some 0.1-0.2mm), requiring even surfaces. For passive heatsinking to be effective, I would be looking at heatsink surface area many times (5-10x) more than the motor surface area, coupled through as much motor area as possible.