The heatsinks are on the voltage regulator output transistors used by the motherboard to generate the Vcore voltage for the processor. With the vintage of the motherboard the on-board power supply for the processor is a linear regulator which is no where near as efficient as the more commonly found (today) switching regulators on motherboards. Due to the type of regulator, there is a lot of heat generated. If possible, mount a fan at the front of your case (as well as installing a heatsink/fan on the processor). This will help keep things cooler. The devices (heat sinks) getting hot is normal.
