Bergquist has a line of materials called "Gap Pad" which is a very conformable material with good thermal conduction properties.
If you are looking for something rigid and machineable try Graphite. Look for a company called "Graftech" (www.graftech.com). Graphite is light and has thermal...
Are you sure you need to immersion liquid cool to get the heat off the board. That's usually a last resort option and is always expensive. Maybe a liquid cooled coldplate would do the job instead?
You should check out CFD (computational fluid dynamics) programs such as "Coolit" or "Flotherm". They are very good simulation programs.