I agree... this circuit is a good example of doing it because it can be done, rather than good or efficient practice...

Incidentally I'd always go back to calculating junction to ambeint thermal resistance and dissipation - just because your desired heatsink temp is 40degC doesnt mean the junction isnt running out of spec...

LM338 TO3 package TRjc = 1degC/W so input 20vAC * 1.4 = 28v, output 4.5v @ 15A. Pdiss = (28 - 4.5)*5 (per device) = 117.5W. Tamb=25degC, TJmax = 125degC - not possible! Assume 0.5deg/C per watt heatsink, total TRja = 1.5degC/W, max pDIss - (125-25)/1.5 = 67W, so max output @ 4.5V is 66/(28-4.5)A per device = 2.8A, 8.4A total

Best price I could find for such a heatsink was £21.50 (and you need 3 of them). Alternatively a 1.5degC/W and an 80mm fan would give the same result... at about the same price...

Oh and just in case you're thinking "I could make a heatsink"... thats equivalent to around a 300mm length of 100mm x 50mm U channel with forced air down its length...