The slots probably need to be wider to optimize airflow, unless you are using a fan. And a 16:1 aspect ratio on the fins (length to thickness) is higher than most aluminum heatsinks. Plus it's hard to mill slots 1/16" wide and 1" deep, unless maybe you are sawing them. Say you have 12" of rod, with 1/4" slots and 1/8" fins. That would give you about 32 fins, each with 4 square inches of area, for a total of 128 square inches. When you count up the tips, edges, lost surface, etc, I calculate you now have 208 square inches total, compared to 96 before the milling. Sticking with your 1/16" slots and 1/16" fins, you'd have a lot more surface area, but perhaps no better performance for your trouble due to restricted airflow and limited heat conduction down the length of the fins.
If you have the ability to mill those slots, it would be interesting to see what happens. Maybe make a 2" long test piece with thin fins/slots, and one with wider ones, then measure performance?