Agreed with the above.
On 3w type LEDs (XPG, XRE, etc) I personally use the Bergquist Bond-Ply thermal tape, but anything bigger than that gets thermal epoxy, which for our purposes will work just fine.
The only time I bother with screws is IF the heatsink comes already drilled/tapped, and the holes are where I want them.
Nothing wrong with actually doing this though, lots of benefits to it as mentioned above.
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