Hello, Tom.
Whether or not you should mount a heat sink (or implement any other additional cooling measures) depends on the power demands of your particular load. For reference, all of the values on our regulator product pages, including the S10V3F9 are for operation in an open, room temperature environment.
We do not have any specific recommendations for cases or enclosures for our regulators. Just using heat shrink like you proposed seems like it might be okay as long as you are not expecting the system to be jostled around too much. However, keep in mind that might make it harder for the regulator to dissipate heat and reduce its performance (though other cases and enclosure methods are likely to also have the same effect).
- Patrick