I'm assuming you bought your blade holder not that long ago? If so, the heatsink you need is this one.
Let's see, what else do you have... I see an LED star, lens, lens holder, blade holder, quick release connectors, blade retention screw, pommel & pommel insert w/ c-clip, resistor, battery holder, heat shrink, battery-holder, main body, and a button. Is the button the latching variety? It needs to be if not.
Only other thing you need is a thermal tape pad. They're cheap enough, you might want to pick up two, in case you mess one up trying to apply it. You may also need a bit more wire (not entirely sure; don't the original "how to" guide in front of me). 26-28 gauge is good for your purposes, and Tim sells it in the store for dirt cheap, or you should be able to find it just about anywhere.
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