With 78xx series linear regulators, they 'Throw away' the excess power as heat.
approximately;
( Vin - Vout ) x Current = Wasted heat (in Watts)
so, the bigger the difference between input voltage and output voltage and the bigger the current draw, the more heat you'll generate.
After many burned fingers and a few burned out regulators, I now always fit a heatsink! (Was the first thing i did to my Raduino!)
Leon, M6LPK