That said, there's a reason that many heatsinks are **black** and matte finished; for radiative heat transfer, a surface emits heat in direct proportion to its effectiveness as an absorber (emissivity); all other things being equal, a shiny surface has lower emissivity than a matte one. And a rough surface ALSO promotes flow turbulence, which increases convective heat transfer as well.
So, ironically enough, the silvery polished finish may be your best bet for heat retention, unless you want to go to a ceramic coating or a fiber wrap. . . . and if you do that, aluminum isn't my first choice for a substrate, as after insulation, you might get localized hot spots that will soften enough to distort even if it doesn't melt outright.
Unless you want to do something custom in, say, thinwall stainless, a hard silver anodize might be the best/easiest choice. . . . the anodization (aluminum oxide) doesn't conduct heat nearly as well as the bare metal. (of course, with maybe 0.002" of coating the relative effect is going to be miniscule, at best. . . )