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Here's a photo of a store-bought soldering heat sink clip being used to prevent the frying of a delicate electronic thing as the leads are soldered to connecting wires.
The heat sink goes between where the heat is coming from and the thing you're trying to protect.
This clip is marginally better than a plain ole alligator clip because it has (in theory) a little more contact area in its jaw than the alligator clip, but I think they sell them mostly to engineers who want to believe all that theory they paid a lot to study in engineering school.
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