I looked around for a while, and found a mild steel block (30x30x10mm) at my local engineering suppliers. They also supplied me a couple of 1 inch (25mm) cubes of copper.
With one of the steel blocks, I drilled two 7.5mm holes laterally and filled them each with a resistor wrapped in tinfoil to provide a tight fit (and better heat transfer). I drilled a 5.5mm hole through the block and tapped it to M6 thread.
Screwing a m6 coupling nut onto the top allows me to connect a drilled stainless steel bolt. Stainless steel is a poor conductor of heat - not as good as PTFE insulation, but helps stop the heat transfer up the shaft.