Also can anyone explain to me how a heatsink on a voltage regulator benefits the circuit.
Voltage regulators "vent" off that extra energy they may gain from their use. Thermodynamics always has a way for proving that all systems lose energy and that this "lost" energy is given off as heat. Voltage regulators are no exception, they give off heat, lots of it (depending on their use). If they get too hot, damage could be done to the sensitive components inside or the surrounding circuitry (which can lead to a short). The heatsink would prevent this from occurring. Small circuits generally don't use heatsinks on them (the energy they're regulating is to small to cause a catastrophic rise in temperature), but on a high-energy application, such as a motor driver, they are needed.
So, heatsinks act as a protection against heat damage. They may also increase the lifespan of the components (they would stay cooler and wouldn't ware out as quickly).
I don't think special nuts/bolts are needed, it just needs to make contact with the device it is trying to cool; hence, you use thermal grease to make that contact.