@Dougal: yeah, those 040's are pretty power hungry and expend lots of heat. More hungry and hotter than an 060 actually. I remember you having probs before when we talked about switching from an A1200 power supply to an A500 (even though it's less heavy, it does output more power) but FaLLeNOnE is right... time to replace or refurbish even the A500 supply if you're going to be using an 040. If you're not into replacing caps and rectifiers, I'd go with a modern PC supply and an adapter for your setup. Ugly as sin, but either mount it underneath your table or find a supply small enough to fit in a nicer case. 
I assume you've got plenty of heatsink compound between the 040 and a nice heatsink, right? Heatsink compound will dry up and as a result, not provide the best connection to the actual heatsink. Be careful with that stuff though... as tempting as it is to lick your fingers clean after using the white goo, that stuff is cancerous! :lol:
And lastly... since you're using an 040, especially if it's not cooled sufficiently, you could always cut out a hole in your desk where the trapdoor sits and screw a fan up underneath there. 12v power line will already be down there with the new PC power supply you'll have mounted upside down on the underside of the desk. :lol:
Screw setting your A1200 on risers either, hoping for better airflow. How tacky is that? Ahh... the joys of wedge computer ownership. :laughing:
No heat sink. It has a small cooling fan though. The trap door slot is without a cover because i could not get the cover back on and at the moment the Amiga rests on an empty xbox 360 box and so the front part of it overlaps the box hence it should be getting air.
What i did notice is that the whirring sound of the fan is not constantly at the same speed, sort of like an old pc, especially when it is under a lot of cpu load (like Doom set on high quality graphics and full sized screen).
With regards to the power supply, the A500 psu does not seem to get that hot, i dont know if thats a good thing but im sure it is. But if i do happen to decide on using a PC one which i am considering, would any ATX PSU do? and is it easy to wire up? I should have an old A500 PSU that doesn't work anymore somewhere, I can cut off its power lead for use with the PC one.