The first extruder head that my Dad made for me a while back had a number of pitfalls
- It was difficult to drill a 0.5mm hole (he broke several drill bits trying to make it)
- The resistor wasn’t a very tight fit in the aluminum block.
- The thermistor was attached using Thermic Seal which despite being rated to 1250 °C would crumble and fall out.
So my Dad kindly offered to make a new and improved version based on some specifications and designs that we came up with together.
Rather than try to drill a 0.5mm hole I bought an already fabricated nozzle. Quite a few companies make these now specifically for reprap printing machines including Makerbot, ReprapStores, MakerGear and ReprapSource.
My Dad turned down the nozzle to a round insert that could be put directly into the aluminum heater block. The other addition was a PTFE thermistor clamp to hold the thermistor on using two m3 screws rather than glue.
Giles Bathgate 
How has this worked out for you? I really like this design. I wonder if you could move the grub screw to replace the clamp and then attach the thermistor to a ring terminal like this http://www.flickr.com/photos/makergear/4326838296/ Then you could screw the thermistor ring on with the grub screw.
It worked well until I broke it. Its slightly harder to manufacture than nopheads setup but I think that keeping the heat as close to the tip as possible is a desirable feature.
Using a ring terminal to hold the thermistor would probably work and simpler to make.