If you are talking about a development board that is being powered via a USB lead, and does not have anything connected to it (and it's not on a breadboard), and are running something like a simple web server sketch or blinky LED sketch... then no, you're not doing anything wrong... and it sounds like you have a faulty board.
If you have it wired up in a project, maybe you have something connected improperly, or your breadboard has a short, or something is wrong with the power connection. Maybe check the solder joints, and make sure there are no shorts. Maybe it needs a pulldown resistor on GPIO15 to make sure it is booting from the SPI flash - although I would think it would just sit there looking pretty, not get toasty warm.