How to mount TO-92 package on a heatsink?
Heatsinks do exist for TO-92 packages. Use the parametric search at your favorite components supplier and look for Thermal Management > Heat Sinks > Designed for or Package Cooled and select TO-92.

Here are some examples:


Aavid Thermalloy MAX12NG (rail mounted clip for TO-92 sensors)
Aavid Thermalloy 575200B00000G (slide-on heatsink)


(The second link is less a datasheet and more a catalog.)



However, I think your question title is somewhat misleading. You're not trying to cool the TO-92 device (the LM35), but rather sense the temperature of some other heatsink with it.

The TI LM35 datasheet under Layout Guidelines states:


  The LM35 is easily applied in the same way as other integrated-circuit temperature sensors. Glue or cement the device to a surface and the temperature should be within about 0.01°C of the surface temperature.


Given that information, you might also want to look for thermal epoxy and adhere the device to the surface you intend to measure. MG Chemicals, 3M, Wakefield-Vette, and many others make such epoxies. With this in mind, you should be able to find application information and datasheets to accomplish your goal.