Killing apps should work, but if you kill wifi or mobile connections it will allow the phone to cool off.
I mostly get heating with mobile connection I guess, since I have lousy coverage in my area (there's not a single decent company around in my country, it's basically "hope for EDGE" :s)
I don't think this is a big issue but I must admit that for a casual user who just uses the phone with everything turned on all the time and installs and uses apps it could annoying.
I'm still learning my phone, I'm a power user, but after GDR2 and installing a lot of apps I'm being cautious again, I'm monitoring everything. Data Sense does help a bit.