How do I stop my iPhone Pro Max from heating up?

What are you doing when it gets hot? Are you playing games or does it happen when you aren't doing anything at all?

Does it happen only when on charge?

It's completely normal for your iPhone to get hot when doing things such as playing games, streaming, charging, or doing something for an extended period of time.

See this article for further support:

If your iPhone or iPad gets too hot or too cold - Apple Support

How hot is it getting? All phones will get warm during charging or heavy usage.