Your goal is keeping the die temperature below the maximum rated on the datasheet.
You calculate how hot the die ("junction") will get by taking the ambient temp (TA it's usually called), and add to it the heating caused by power dissipation.
In your case, the TO-220... without a heatsink you're primarily looking at RJA -- Junction to ambient thermal resistance. It's 32.4 C/W.
If you dropdissipate 2W in the device with 25C ambient, this means your junction will reach 32.4 * 2 + 25 = 89.8C This is below the max junction temp allowed (150C per datasheet). A wise designer doesn't come anywhere near limits however ... 90C is tolerable but still pretty hot. Especially if more power is sunk than you anticipate, or ambient climbs higher than you expect.
Even a relatively small heatsink attached to the TO-220 would go a long way towards keeping the junction temperature down. Your IC would appreciate it! Heat is the killer of all things electrical... keep the temp down, it'll last longer.