It's perfectly natural for a USB to heat up whilst in use, but BURNING hot, should not happen.
it could be indicative of a USB on the edge of its shelf life, or your USB port could even be faulty. However I would sooner lean on the side of the USB being at fault. If it heats up no matter what USB port you plug it into, that would be evidence right there.
I would just make sure anything you have on the USB is backed up.
On a side note, some San Disk USBs do get quite hot to touch, and it is a regular complaint, but it shouldn't be very uncomfortable to hold, but keep everything backed up to be safe.