The LEDS generate a LOT of heat. Most of it is wicked away through the LED die (the base). This is what the big thick heatsink is for.
This is not a project for an electronics newbie. In theory the concepts are rather simple. However, in practice there are a lot of little details to get right. It will cost you about $1000 in parts and tools to even consider doing this right. Trial and error is certainly an option, but a costly way to learn with something like this.
I would suggest ordering a handfull of LEDs and getting a few electronics books and starting off very small. Get 1 or two high output LEDs to light. Learn how and why they work. Learn how they behave at different currents. In the process learn as much as you can about power supplies (constant current in this case).
Electronics can be a very rewarding hobby. If saving money is your goal, then this is not the project for you at this time
If learning IS the goal, then you now have a place to get started.