Download a monitoring program like HWInfo64 (will show all temps) or Coretemp for cpu only. You havent stated you specs, but run a game for an hour and then alt-tab out and have a look at your temps when you notice the lagging.
CPU if Intel should be below 60 when gaming and GPU (again depening on what it is, shouldnt go above 70 when gaming. HWInfo64 shows you different temps on the GPU, you want to be looking for the highest really and note what it is.
Yes, if your CPU is too hot it will throttle back (reduces MHz of the clock) leading to possible poor performance. GPU's may well do the same although i have not noticed this. make sure your case is clean and get some compressed air and blow through the heatsinks to get rid of dust.
sorry about that its a amd phenom 9600 quad core with an asus mb ati radeon hd 6850 ..i just downloaded the hwinfo64 but i dont see temps on it.