I think the first linked Radio Shack HS is a nice one. Based on the Digikey listeing of the same item, it's 17.4C/W. If Radio Shack doesn't have one on hand, try stocking up on that and other stuff over at Futurlec (limited but useful selection, very good prices, fast and cheap shipping, and decent packing). Once your order hits $5 sans shipping, you'll have beaten Radio Shack pricing.
Too hot: good question. I've gone with the non-grounded finger method, so far
. Generally, though, estimate the power needs, and get a HS that can handle that and more. If it doesn't have to be pocketable, a bigger heatsink generally won't hurt. Mainly because you don't want to find out by it shutting off.
If my math isn't too shabby:
deltaT/W - ICR - PasteR = Rating in C/W
Let's call the LM317 (ICR) 5 degC/W and grease 0.5 in degC/W (I think both are actually lower), and deltaT as 50 degC (keep it below boiling). So:
W = 50/(5.5+Rating)
Plug in and get a low estimate of max power consumption. Then, some heatsinks may be eliminated, or you may be able to use any one that fits. The first linked RS HS should get you to a max of 2.2W wasted on the regulator.
With separate ICs doing the job for each section, it likely won't be too bad.