1) Buy a mech from the factory with no heat sinks (or failing that, as few as possible, since in the end you'll be charged 50k for each original one). Smaller mechs are better, since they have more critical spaces available.
2) Customize your new mech and add single heat sinks to every open critical slot. (The price tag will go up 50k each.) It doesn't matter if you exceed the weight limit.
3) Before saving your customizations, use a Heatsink upgrade. All the single heat sinks will be pulled off and converted to doubles. But, since this is considered merely "undoing" the work you just did, then assuming you started with no heat sinks, the price tag drops back to zero!
4) Exit the mech lab and accept your changes. You have now converted all the heat sinks you added into doubles.
5) If desired, you can downgrade the mech back to single heat sinks and redo steps 2-4. Repeat as many times as you like. You can also sell your guinea pig mech back to factory, if you wish (although you'll lose some money on the swap).
Somewhat dishonourable, but it works.
It also seems that your heatsink upgrades/downgrades are not used up by this procedure. I did this running version 1.06 of Mercs 95 on Windows XP, with Slug's Hook.