All the high-power LEDs need some type of heatsink to keep them from
overheating. Many of the higher-power LEDs are actually internally
constructed on a ceramic substrate to allow for high operating
temperatures. You don't run into the heat issue with the smaller LEDs
due to their much lower relative power levels.
The heatsink issue isn't usually a big problem to deal with if you're
using the middle-power LEDs. Some of the really big ones (there are some
90 watters out there!) need specialized cooling, but the moderate ones
tend to be more DIY-friendly. I've constructed some fixutures by just
mounting the LED elements to a heavy aluminum sheet 1/16" thick and
that's been sufficient.