My understanding is that heat generated by the led is dissipated almost completely by the negative lead(anode). This means that you should solder the negative lead in a place where it will have extra mass of metal to dissipate this heat. Of course, copper has the best characteristics for heat conduction.
If you are using PC board, be sure there is extra copper on the negative side. Or, even better, use a double sided board.
I have been building PR type bulb bases out of 1/4" copper tubing, nylon nuts, and brass screws. This gives a great deal of extra copper for heatsinking. Use either the standard 1/4" copper plumbing tubing to match the exact PR bulb diameter. Or use the larger 1/4" coupling for a bigger base which will still fit in many flashlights such as the Maglite. You can make a flange for the base by soldering #14 solid copper wire around the top of the tubing. You will have to do a little hand filing but this makes a very rugged led PR base. Another advantage is that you can fit at least 4(four) 1/4watt dropping resistors or 3 1/2watt resistors into them if desired.