You can get potting epoxy with good thermal characteristics. It's not cheap, but available. Dont' have a link for you though. 3M makes a bunch of different potting epoxies so you could look on their product site. It's common in electronics so you wouldn't be doing anything out of the ordinary. Heat sink epoxy works well for general assembly, but it would be too expensive to pot with it. I use
this stuff. It's really strong and cures pretty fast.
One tip on glueing those PCB mount connectors (if not potting), drilling a couple small holes in the glue side of the connector prior to glueing allows the epoxy to hold much better, speaking from experience.
Those DC connectors on eBay are 5.5mm x 2.1mm connectors which is like a standard size. They're panel mount so they're a little more compact than the
through-hole ones, but still, it's the 5.5mm part that gives me trouble. I can get smaller non-standard sizes, but then they aren't as rugged and it's hard to find wall warts already wired up for them.