1N5822 schottky diode heatsinking
There might be differences, but if your concern is just heatsinking, you have to rely on the thermal mode given by the manufacturer. According to the thermal model in the datasheet, they don't specify a different thermal resistance from junction to the anode or from the junction to the cathode. 



This is the model you have to use to make your thermal calculations. RtL and rtJ are the thermal resistances for junction and lead.