In that case, the next step I took is figuring out which part of the phone is really heating up or causing the heat. Switch off your phone for sometime till it completely cools down. Then switch it back on and try to find one specific spot on the phone that is heating up more.
Next, head over to iFixit and try to determine which component inside is causing the heat.
http://www.ifixit.com/Teardown/iPhone-4S-Teardown/6610/1
(You will have to do a lot of scrolling to get the exact answer)
Then post it here. If your heat is coming from the place right above the sim card slot, then your processor is running hot. Check if you have a lot of applications running.
MuTz777