I would suggest you use an intermediate heat transfer oil. You will clearly need to select an oil that does not react with sodium (Maybe Kerosine? I believe metallic Sodium is sometimes transported in this). Heat Transfer Oil manufacturer's e.g. Huls/Dow should have information on other options, best suited to your particular operating / design conditions.
This oil would then need to be cooled in a secondary exchanger by water / chilled glycol etc. Keep the oil at the highest pressure so any leak is outwards, and monitor the sodium stream and coolant stream for oil ingress. You should also pressure test both exchangers at routine intervals. (You can design the system to use the heat transfer oil to do this). You might want to consider drying the oil system prior to first use, and when recharging / topping up.
I totally agree that you should not directly cool with water.