It's not a heatsink, it's a RF shield.
I don't know if that's why mine doesn't have good range, but if I ever get motivated I might bend up a piece of metal/shield and attach it... then again I'd probably move to 802.11g before I got THAT motivated, so there'd be no point. When I bought mine I was just happy that it was so small, was going into a flexATX case, but it didn't come with a low-profile mounting bracket so I had to carve out one.