I beleive pure silver is the best for heatsinking but is not used in a lot of situations due to cost of the raw product. Copper is the next best thing and is largely used. Closely followed by standard alu which is also largely used. All other metals come in behind these for thermal conductivity including brass which is actually rather poor in comparison to copper or alu.
Copper is very good at absorbing heat, alu is very good at dissapating heat as a rule of thumb given the same mass and surface area. Mass and surface area are really the critical points when it comes to heatsinking. If it was me I would make (whatever) out of alu because it is easy and cheap to get. Start with quite a large mass and make as many fins as practically possible with out weakening the structural points.
Another thing that might be worth mentioning is the more snug the fit the better, try not to rely on thermal paste to fill in gaps. Make it from a single peice too, the more direct the path for heat to travel the more effective.
Hope I helped somewhat
