It is not unusual for an iPad to become warm when being used - more so when using some types of iPad case. High screen brightness and/or CPU intensive Apps will also create more heat.
The key point is that whilst your iPad may become very warm in normal use, the iPad should not become uncomfortably hot to handle. If your iPad is becoming too hot to hold, you should take your iPad along to the Genius Bar at your local Apple Store - where the technicians can examine and test your iPad for faults.
Genius Bar Reservation and Apple Support Options - Apple
Being a new device, if there is an issue, it would be in your best interests to have it diagnosed as a quickly as possible. If purchased directly from Apple, you have 14-days within which you can unconditionally return the iPad for exchange or refund. After 14-days, Apple reserves the right to exchange a defective device for a renewed/reconditioned (i.e., not necessarily new) iPad of the same model and specification.