My personal experience without overclocking:
030, gets pritty damn hot but doesn't need heatsing nor fan for any Mhz model.
040, gets extremly hot and to ensure a healthy system for a longer time a 25Mhz model need a heatsink and a 40Mhz needs a fan aswell.
060 is a bit hard to say with all the different types but usually none of them need heatsink or fan as long as they ani't overclocked though to ensure a longer life span for these expencive CPU's a heatsing should be applied anyway
When it comes to overclocking there is one rule that always apply... ALWAYS use extra cooling! :-o
030 definitly need a heatsink and probably a fan.
040 shouldn't be overclocked since it already run very hot but I'm sure there are ppl out there doing it anyway and if you got a wathercooling enviorment it would probably come in handy right about now.
060 can be overclocked but how far you want to take it is realy up to you and the type of 060 you have (and what you value the most, more speed or longer lifetime). Although I definitly recomend both heatsink and fan for any overclocking of the 060... 55Mhz for any type of 060 should be fine without extra cooling... 60Mhz definitly need a heatsink for the 50Mhz versions (standard or "A model"). For 66Mhz you need both heatsink and fan if it's a 50Mhz version CPU you got, if it's a 60Mhz version a heatsink should be enough. 75Mhz should realy just be tried wit the 60Mhz version and then with both heatsink and fan but I guess you can do another wathercooling project here for the 50Mhz models also aswell as for the 60Mhz if you want to try puch it alittle further. Now this was all true until I read about a 100Mhz 060 turbo for the Atari... It uses the newest of 060 (that have some new tech) whith no Amiga turbo are equipped with (yet)... If you get hold of such a CPU you should be able to puch it to this extreme aswell but as far as I could see it needed some heavy cooling not to burn. :-D