The default halogen lights do not need a heatsink because of the way they are designed. A high amount of current is fed through a tiny filament. As a result, light and heat are created as a byproduct. The hotter it gets, the brighter the filament will get.
When led's are driven hard, they can also build up a decent amount of heat. This heat is detrimental to the diode and will cause it to break down. In the end of the heatsink under the cap, there is actually a cooling fan so it doesn't overheat. These fog lights are 4000 lumens each and are about 32 watts.

My headlights and high beams are the same way. They are 4800 lumens each (4 total) and they have cooling fans as well. Because of this, I have to keep the rubber caps off the back of the headlight housings right now.
To fix this, I have considered making my headlights liquid cooled. I have a spare set of headlights I am currently redesigning. My current headlights have COB Halo led's and they are very bright. My new headlights will also have these but they will have many more features that I will not get into right now. The new ones have an arduino in each headlight housing to control all of the functions they will have. The ardruino will communicate with the tablet in my dash and read the current states of the headlights and blinkers to determine what "mode" to be in. It may be a little overkill for headlights but its fun to me Long story short, I want to make it have a special "Christmas show mode" next holiday that may or may not go to music To do this, I need to have all of the lights be able on and off instantly without the "fade" that halogen lights give

Below what my current driving lights look like (with original fog lights). The headlights are not on in this picture. I will be posing pictures in the summertime when my headlights are 100%. I dont want to post them unit I am satisfied with them.