Yes they get hot. The manufactuers of the IC's used on those voltage regulators all recommend the use of heat sinks on those devices, yet none of the hobby voltage regulator manufactuers have included a heat sink.

I use a heat sink on my regulators. Go down to Radio Shack, and buy a heat shink, and attach it to the IC.

Also, you may want to check the current drain in the overall system. Heat means current flow. You may have servos binding drawing extra current.