Rollitup

Grainger ship to store is cheap or McMasterCar if no Grainger near shipping is like $5 or so. I bought a drill bit too but 3/32 is very close and worked also.

http://www.grainger.com/search?nls=1&searchQuery=4-40+thread+cutting+screws

http://www.mcmaster.com/#catalog/121/2983/=w326nn

I used arctic alumina thermal adhesive. It spreads well and is thin enough it will spread when you apply pressure to COB when putting on heatsink to allow a good bond. I also used a razor to but a couple light scored in heatsink to ensure it would bond.