my new lumia 920 is heated in back

How hot is it?

If it is a bit warm, that's normal. It's not normal if it's so hot it's uncomfortable to hold.
 
some times, when I'm using camera (Pro Shot or something like that) it's get very hot, like almost burning your finger if you touch for a few seconds (This happens with heavy games as well)

it's not all the time.
 
It's normal for your phone to get hot while charging and playing games or using certain apps. I know with my 920, it gets really hot when I'm wirelessly charging in particular. I can also be engaged in a few games of Wordament for awhile and it will warm up. I can't say whether this problem is solved with GDR2 and Amber, though because I don't have them yet.
 
It is normal, my Samsung Galaxy Tab 2 10.1 (an Android tablet) is hot too, in the back side near camera.