[DonRotolo]

What Al ^^ said.

Also: The hole is what you use to fasten these things to heat sinks and altoids cases. Nobody uses adhesives.

Use a small (#6) nut and bolt to fasten it. White heat sink goop will help a lot. An altoids tin is probably good for 1.5 or 2 watts, max, assuming free airflow. whytheheckme's suggestion to bolt a heat sink to the outside is a good one, with heat sinks, bigger is always better.

Put some tape under the metal leads coming out of the regulator so even if bent a bit they won't short to the case.

Don