Just replace the cooler that uses a sliding metal clip, if you cant or unwilling there is a method that might work and that is the bolt down however finding the right sized bolts both in length and thickness wont be easy.

Thats a great idea by using some nuts and bolts as my CPU doesnt have any metal clips heres what I have to work with

and this is all held together with some stupid plastic things that I have broken all but one and because of these plastic things the heat sink moves around if you put slight weight so the thermal paste gets messed up thats why I thought thermal pads or thermal tape would be better

What is a good thermal pad to use I have seen graphics card thermal pads but it does not specify if they can be used on a CPU, would graphics card pads be ok to use on a CPU that is running at 500MHz

No need to over-engineer imo. For a mod like that I used 4x 3mm bolts to attach the sink to the backplate and used a bit of regular cooling paste on the die. The backplate is of a very tough kind of plastic and you may need to widen the holes a tiny bit in order for the bolts to get grip. When you do it like that there wil be no 'moving around' of the sink. I would not screw in the bolts too tight though, and you have to tighten them evenly, or you could damage the die or the pcb.

I managed to do this

I have used some thermal pad I had laying around its probably not the best so I will keep an eye on it in the Bios temps to see how hot it gets and if its to much I will use thermal paste

that looks ok too. Still prefer nforce4max's suggestion to use a clip-on sink - like this:
http://goughlui.com/the-cpu-corner/slot-1-intel/
scroll down to:
Intel Pentium III SL35E 500Mhz

Solutions like that are for sale on Ebay for between 6 and 9 dollars or so.

Thanks all, I would buy one of those clip on heat sinks but the postage cost is very high I will wait till one comes available in my country.

Sorry for necropost, but I have the same situation and planning to apply pad, if BIOS doesn't show the CPU temperature, how can I see it otherwise? (P 3 - 667 Mhz slot here) on Windows 95/98.