Change diodes in a NAD C326BEE audio amplifier
What could be improved to prevent future overheating ?

Not much, they need to dissipate the energy so they get hot. What you can do is give the zeners enough &quot;breathing space&quot; so keep the leads somewhat longer and bend the leads such that air can freely pass the zeners.

...zeners with a power dissipation of 1.25W and 1.5W

Indeed, the 1N5918B is a 1.5 W zener and that the &quot;3W&quot; in the schematic is probably wrong. Also comparing the size of the 1N5918B to the 1N4007, the 1N5918B isn't much larger and the 1N4007 also has a maximum dissipation of around 1 W. If the 1N5918B really was rated for 3 W it would have to be much larger and/or need a (small) heatsink!
3 W zeners do exist, the 1N5919 but there is no 5.1 V version of that. You could just use two 5.6 V (instead of 5.1 V), there is still plenty of &quot;headroom&quot; for the 7805.
So your solutions:

buy 2x 1N5918, 5.1 V, 1.5 W and assume that the &quot;3W&quot; isn't true.

or

buy 2x 1N5919, 5.6 V, 3W, that will slightly decrease the voltage to the 7805 but that should be no issue. In any case: mount the zeners with long leads so that they can &quot;breathe&quot;.

I would choose solution 2) btw, it is a bit more robust.