there is a big difference in the light output per watt power input - typical light output efficacy for halogen tungsten bulb is about 17 lm/W for 100 W bulb and typical light output efficacy for LEDs is between 50-100 lm/W. that means if you need the same luminous flux you will generate less heat to sink with LEDs because they are more efficient.
it's kind of a misunderstanding that bulb doesn't have heatsink since the bulb itself is a heatsink. however the LEDs need to be cooler (you will damage the devices if you let them to heat above 100 C) so they need bigger heatsink to spread the heat more efficiently because there's lot lower tempreature gradient between the LED and room temperature. still they generally generate less heat.

it's a good idea to use a red LEDs inside yout safelight.