^Agreed with Hoppy, need more info.
If you are using a single 3-watt type LED and running it under 500mA, you can mount it to any piece of aluminum (or copper) that's around 1/8" thick or more and as wide as possible. I'd shoot for a 2X2" piece.
If you are running it more than 500mA I recommend you look around for something a bit beefier. You can get all sorts of small useful heatsinks from computer repair shops. Just take the LED to them and ask if they have any scrap heatsinks laying around that have a flat spot big enough to handle that LED. And again, the bigger, the better.
If you are approaching 1,000mA on your current, you definitely want something that's around 3/16ths or 1/4" thick with some fins.
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