I don't have heat sinks on mine currently, but I am thinking of adding them. I actually have 2 SSR's in my system. One controls the cartridge heater and the other controls the small compressor and blower motor. I haven't ever had a problem with the cartridge heater relay, but I have with the other. I suspect its because it is a continuous load rather than the intermittent load from the cartridge heater.
What happens is that when the water reaches high temp, the aquastat cuts power to the cartridge heater and when the block drops below 200 degrees, the alarm contacts on the PID open and shut the relay off that controls the compressor and blower motor. If it's cold out and the boiler starts again soon after it shut down, the relay is still hot and wont provide full current to the compressor and blower motor causing the system not to start. If I jump the terminals with a wire, the system will start and run fine, but it's the initial start up that doesn't work. If the system cools down more, then it has no problem starting again, so its definitely a heat problem.
You probably wouldn't have a problem just running the cartridge heater, but heat sinks are cheap and if you have room for it, it certainly wont hurt.