I don't know how "they" do it, but I tried, and succeeded drilling and tapping my Conrad heatsinks by hand. It took me about 40 hours to learn how to remove broken drill bits and broken taps. After fouling up several holes, I was then left with having to make every hole the next size larger. Some heatsinks can be stubborn to work on by hand.
My advise would be to let someone else do the heatsink machining work for you. At the end of the day, I myself would be time and money ahead to just lay it out in FPE and let them do the work on the chassis as well. Otherwise use the onboard heatsinks, or get creative with something like the Aavid clip max system, etc.