That switch gets hot -- very hot -- and that is what it's supposed to do.
I don't know how to explain it so that I'm not sounding like a high school physics teacher, but I'll give it a shot.
The law of conservation of energy states that you can't destroy energy, you can only convert it into other types of energy.
So, what's happening in your switches is that law in action. You've got a certain amount going into the switch, a lesser amount coming out of it, and the rest of that electricity has to go somewhere, so it turns into heat energy.
It's normal... but if you start melting things with the switch I think I'd find a different switch.
