You shouldn't need to do any soldering. Actually if there's room for the heatsink, get some 'thermal grease' or heatsink grease, apply some to the part of the heatsink that will contact the regulator and press the heatsink onto the regulator. The thermal grease ensures a good thermal transfer from the regulator to the heatsink. You may want to add a small dab of epoxy from the heatsink to some nearby 'structure' to secure the heatsink.
I believe this should work for an 'after market' heatsink addition
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