Yeah. The way it works is this:
First letter is Flux (brightness) rating. S is OK, T is good, and U is, well, unobtanium (as Mr. Bulk calls it) right now.
The second two letters tell you the color binning. WO is generally considered to be the "best possible" bin in this arena, but WA, XO, and X1 are also considered to be quite good.
Here's the luxeon color bin codes overlayed with the CIE chromaticity chart (thank you Hotbeam):
The last letter is the forward voltage. Lower is usually better, but K is fairly standard. The lowest luxeon III's go is G (starting at 3.03 volts), followed H, J, K, M, and N.
For more info, see the bin datasheet:
http://www.lumileds.com/pdfs/protected/AB21.PDF
I'm not sure what heatsinks you're talking about using... I would expect that you could make your own out of nearly anything handy - I've used quarters in one light...