There was another thread recently about using crazy glue (CA) to attach Luxeons. Summary: Contact between the Luxeon and the heat sink is more important than the thermal conductivity of the adhesive since the Thermal Conductivity of the best thermal adhesives pales in comparison to that of most heat sink materials.
In theory, if both were perfectly smooth and flat, using water, CA, AA, or nothing at all would be identical since the layer between the Luxeon and the sink would be zero.
I would rather have a ultra thin layer of CA than a ~0.5 mm thick layer of AA. Of course, if for some perverse reason you must have a ~1 mm thick layer of goo, AA is about as good as you can get.
What does this mean? Make sure your surfaces are flat and smooth, and if you do use a thermal adhesive, make sure you squeeze out as much of it as possible.