Yes, the size of drives is insane these days. I always forget how small the M.2 in my PC is, but I had to remove it a while ago and was kinda surprised because it was even smaller than I thought it was. I don't know anything about heatsinks, but there are some small and some really big ones. I replaced my stock cooler (AMD Wraith Stealth) with a much bigger one (bequiet Pure Rock Slim 2), and it keeps the CPU 2-10 degrees cooler than the old one.
I hope you have (had?) a lot of fun building your PC! It's always a special day when you get to build one after spending who knows how much time researching parts :3