Thanks to all for replies – forgot to say I'd drilled 2.1mm.
Clearance drilling for a screw / nut would be difficult because of the geometry of the heatsink, otherwise I would have just done that:
My reason for posting this query was, at least partly, that I wanted to understand why I f..f..fouled this up. I find it difficult to say 'well, that didn't work, I'll try something else' without trying to understand why it didn't work.
From replies it sound's like it's doable, but in this material not as straightforward as tapping normally is. That's reassuring. I'll carry on trying, taking heed of advice – I don't like giving up! The heatsinks actually have some M3 tapped holes (not in the right place obv) as supplied, so it's possible.
For practical purposes it sounds like Taptite is the way to go. Didn't know of them, thanks Robert.
Robin