Please do check contacts, as Laharl, says.
Usually with electrical items the voltage regulator in the circuit goes first (caps then diodes), heat gives this away. In your case the PSU should be regulating the voltage (it should have the components that do the regulating of the voltage, either variable or fixed), and you have only recently aquired it so it should be fine (otherwise you would smell that burning electrical smell, as the components begin to break down in the PSU).
So the PSU should heat up (it will get hot - all the cheap rubbish made today does), but not the GP2X unit (especially with the cells out), it should be fine (only the screen should give off external heat that's felt as a very mild warmth).
This sounds like the solder pad contacts for the power jack (in the GP2X), may have begun to work loose, and there is the beginings of an electrical short developing (which would be the cause of the heat you mention). You have to be very gentle with a GP2X, with external power use, as the solder quality for the SMC's is not the best, (I've seen better from China, - no offence meant to the Chinese, but they're where Japan, was in the 1950's for "Kwolity" right now). The lead and connector to the power jack at the GP2X end, must be getting some tension from your over enthusiastic energy during game play (so please calm down), partnered with poor GPH build quality, we have a very probable electrical short developing.
You can investigate the connector for wobble, just gently wiggling the connector, for signs of excessive play. If you have the power on you may cause damage to the unit (by way of an electrical spike). So please be careful.
It may be an idea to switch back to cells until you can confirm the power jack is okay at the GP2X end.
Myself I would just open up the GP2X, and re-solder the power jack to eliminate it from suspicion, it could just be a hard to spot hair-line crack, on a solder pad (look for signs of a smoke spot / melting part / dry solder joint). Of course if that's not your thing you may want to take it to someone who knows what they are doing, and have them check it out for you.
You can of course just stick to cells.