I'm using one of these, and was using a 10 year old Sandisk Cruzer Micro U3 for a while before that.

The one that you've got linked is currently plugged into my Wii though. It got very warm, but not excessively hot, when I was writing my games to it. Part of that is that it dropped the speed way down. I don't think it gets especially warm when just doing reading, especially at optical disk speeds....but other people have had very different experiences.