That is a slow, messy, and expensive proposition, especially if you need thermal grease between the transistor and heat sink (Figure 1).
Another problem with bolted-up heatsinks is that the assembly operation is less controlled. Circuit board fabrication and assembly are tightly-controlled repeatable processes. When you have people hand-assembling things there is a greater chance for errors. This is especially true if the people doing the work are on the other side of the world, speak a different language, and are functionally illiterate.
It’s always a good idea to make thermal management inherent in your PCB design. Experience has shown you can get about 2W of heat out of a 3×5” copper area on a conventional FR4 PCB.
Wayne Yamaguchi learned some great thermal design tips for his kits to convert a Maglite to an LED flashlight (Figure 2). He thought the hard part would be the switching regulator design. It turns out the mechanical engineering and thermal design was the hardest thing.
Wayne figured out how to use vias and copper pours to get the heat of the LED transferred to the aluminum body of the Maglite. Getting the heat out is why LED flashlights are not made of plastic. An LED is more efficient than an incandescent bulb, but the incandescent bulb radiates its waste heat out as IR (infrared) light, along with the viable light. The heat made by an LED stays in the LED.