As Les has said, the heatsink needed depends on heat dissipation and enclosure size; he hasn't indicated how to work this out.
As this is a "linear" power supply (i.e. not switching), the amount of heat generated depends upon both the current being drawn and the difference between input and output voltages. This means that, for example if the difference is only 5Vdc and 1A is being drawn, the regulator needs to dissipate only 5Watts (5V times 1A), so would only need a fairly small heatsink, however, if the input difference were 38.5V (the max input (40V) minus the min output (1.5V)), at 1A this would mean the regulator would need to dissipate 38.5W - nearly an 8-fold increase, so would need a seriously beefy heatsink, with the size implications that go along with this. Hope this explanation makes things a little clearer!
Date published: 2017-11-11