We do not include heat sinks with our stepper motor drivers, so it sounds like you might have drivers that we did not manufacture. If that is the case, you should probably try contacting the manufacture for additional help.
If you do have our drivers and have not set the current limit on them, you should set the current limit appropriately. Information on how to do this can be found in the “Current limiting” section on the product page for our DRV8825 carrier board. Additionally, the video in that section might be helpful:
If you set the current limit appropriately and still have issues, please let me know what you set the Vref voltage to and post pictures of your setup that show all connections to the drivers.