Step 7: Step 5: Final phase
The last thing you need (or you should have) is the heatsink. Just find some small heatsink (good heatsinks are usually inside old CRT monitors), on which you can easily mount your laser module. Thermal epoxy (like Arctic Silver) is your friend :)
Or you can buy this one: http://www.laserlands.net/heatsink-12mm-yh.html
Now, let your imagination take over and build all this stuff into some nice project box.