Copper skiving machine - GIF

[KustomsbyKent]

Yes, that's the process for making expensive heat sinks. Cheaper ones from aluminum are typically extruded, but the material properties of Aluminum are not as good as copper for heat sinks.
Price a good copper heat sink, and you'll see how expensive they are.
The long thin fins promote better heat transfer and cooling. All sorts of "fun" calculations for determining the correct length and thickness of fin. I remember doing those calcs back in college.
That's another disadvantage of trying to extrude aluminum heat sinks, the fins are thicker and farther apart, decreasing the heat transfer rate.
Thanks for sharing the video, it's been explained to me how those fins were made, but I never got to see it in person. I've seen plenty of Aluminum being extruded out... some for heat sinks, some for my own design of extrusions, and some for motor housings and more. In concept, its not much different than Play-Doh extruding.