The heat generated by an LED is considerably less... If those things got anywhere near half as hot as an incandescent bulb, the LED would fail long before that... The reason for heat sinks isn't because they generate a lot of heat, it is just because the die cant take much heat before it reaches its failure point. Once they start getting above 150 degrees for any prolonged period of time, you are reducing their life span, and much higher than that and they will fail.
Really though, they aren't making much heat at all. The 3 watts of electricity running through them are of course going to generate heat, but, incandescent bulbs only make light by heating up the filament... Light is a by-product of heating it, which is why they are so inefficient.
On his setup.... I'd say that regulator is probably getting a good bit hotter than the LED, and I doubt that is seeing temperatures over 120 at the die with it attached to that big ol heatsink. In most cases, if any of those components are getting too warm to handle without becoming uncomfortable, you have a problem...