Looks like you have an 0.82 Ohm Rsense?

 

Yep, the wire wound ones were all that I could find.

 

Which version did you build?
You shouldn't need a heatsink unless your load turns out to be more than about 550mA.
Testing with a dummy load is a good idea, just in case you made a wiring error.

I built the first MOSFET/op amp circuit suggested by SgtWookie in post #23. I replaced the pot with a 3.6K and 6.8K resistors. (I had 6.5 written on my sheet when I went to the store, but the 5 looked like an 8. Just realized that.)

 

Well, if you want to get longer life from the battery, you can go to the 0.1 Ohm Rsense and reference voltage dividers that Ron_H suggested.

I started off thinking that your easiest supply option would've been Radio Shack, and mistakenly remembered the 8 Ohm resistor they stock as an 0.8 Ohm resistor.