TiM has it right, resistors work by converting current to energy, and that energy is heat. 

One way to look at it is that voltage is the energy that drives the circuit.

An LED is a device that converts most of the energy feed to it to light with a little bit of heat. 

If you feed it too much energy, it will burn out.  So to reduce the energy available, you put a resistor in place that takes out some of that energy and expels it as heat.  Then the energy level is low enough so that they LED doesn't burn out.

It is normal that it will heat up, that means it is doing it's job.  

The bad part is if you get too many in a model at once.....

But that would have to be an awful lot of them.