Heatsinks do exist for TO-92 packages. Use the parametric search at your favorite components supplier and look for Thermal Management
> Heat Sinks
> Designed for
or Package Cooled
and select TO-92.
Here are some examples:
- Aavid Thermalloy MAX12NG (rail mounted clip for TO-92 sensors)
- Aavid Thermalloy 575200B00000G (slide-on heatsink)
(The second link is less a datasheet and more a catalog.)
However, I think your question title is somewhat misleading. You're not trying to cool the TO-92 device (the LM35), but rather sense the temperature of some other heatsink with it.
The TI LM35 datasheet under Layout Guidelines states:
The LM35 is easily applied in the same way as other integrated-circuit temperature sensors. Glue or cement the device to a surface and the temperature should be within about 0.01°C of the surface temperature.
Given that information, you might also want to look for thermal epoxy and adhere the device to the surface you intend to measure. MG Chemicals, 3M, Wakefield-Vette, and many others make such epoxies. With this in mind, you should be able to find application information and datasheets to accomplish your goal.