I'm not sure how many heatsinks you are working with, but hopefully I can ease some anxiety about the holes.
The material most of us work with here for frames and heatsinks is aluminum. Its a soft metal. For the distances we need to drill and tap (short), combined with the weight (heatsinks are light), tapping shouldnt be required on majority of typical builds. Approximately 99%.
If you need to drill and tap a hole for your cob, or to mount the heatsink to a frame, use a 7/64 drill bit and a #6-20 3/8" screw. Zinc plated steel>aluminum all day. If you need tips on how to get the hole placement perfect, or how to drill in aluminum, I can help there too.
If you want to go further into an aluminum piece, these may be more helpful, called cutting/tapping screw