It's best to just add heatsinks to the back of the board.  However, the parts you are cooling are the black plastic transistors between the large aluminum cylinders (the filter capacitors) and the large black cubes of metal (the inductors). 

The reason the back is better to cool than the parts directly is that the parts are mounted with a metal pad in the middle that is designed to conduct the heat into the board.  On the other hand, the top of the part is plastic and does not conduct heat as well.  Thus, cooling the back of the board is best.  Also, when you add heatsinks on the top of the parts, you risk shorting out some of the other small capacitors near the devices you are cooling.

To repeat: It is best to heatsink and cool the back of the board under the VRM, and NOT heatsink any of the individual parts.