The only time I have ever managed to get my PSP warm was simply by using the wireless intensively, like with Tekken gamesharing. It gets warm, but that's it.
Not that it matters, but the PSP has two CPUs effectively, one 'media engine' and one regular CPU - but they are both running in paralel and the same chip (R4000 I believe).
Anyway, nowadays most games are pretty well optimised I think and they will choose whatever clock frequency they need for whatever part of the game. So if you're in a menu, the clock can go down considerably, as it'll need to do barely more than wait for a button press. This is a lot like homebrew ebook readers which can just drop your clock to 1mhz as long as you're just reading what's on the screen, etc.
But to get back on topic, first of all the SPEs don't really use a lot of power. Very little, in fact. You'd be surprised. This is one of the many reasons why you can have so many of them on a chip in the first place. And the Cell Broadband Engine was developed with laptop computing and CE devices in mind, so power consumption has always been on the agenda.
My main question mark right now is the RSX and how much heat that will produce. Hopefully it has a smarter cooling system than the Radeon 9600 PRO that I bought for this machine
(I recently ripped the fan off it, because it was always on - don't worry though, I don't play any games on this machine and Vista ain't touching it either
).