Congrats!
It is normal for the galvo amplifiers to become hot but there is a limit which should be present in the datasheet that came with your galvos/amplifier/power supply combo.
The heatsinks should always be attached. If you are still encountering issues you should use fans. You should also check to make sure you are not over-driving the galvos. For example the Lasershark should be able to run galvos up to 64kpps... but you wouldn't want to do that if only had 10kpps rated galvos.
