I've noticed my SP3 getting quite warm when playing the various Windows Store racing games, but not so much hotter than I've experienced using, say, my MacBook Air before the fans kick in much, much louder than the SP3's. Feeling heat on the outside of a magnesium case isn't so bad, just like feeling heat on the outside of a MacBook Air's aluminum case isn't so bad, because both are conductors of heat. It's basically the case doing its job in contributing to heat dissipation. The good thing about the SP3, of course, is that by its nature the hottest parts never come into contact with one's lap, unlike a traditional notebook like the MacBook.
I'm not saying that there aren't SP3's that don't get hotter than they should--every device has lemons, and perhaps those that are getting that hot weren't put together correctly. Certainly, if you're experiencing what you think is excessive heat, get your unit replaced while you're still within the 30 day return policy. If the replacement also makes you uncomfortable, then maybe your tolerance is less than some others'. Nothing wrong with that, it would just mean that the SP3 isn't the right machine for you.
Edit: Oops, just realized that I'm in the wrong forum. Thought I was in the Surface Pro 3 forum. Sorry about that!