Converting 8V AC to 8V DC - bridge rectifier gets very hot while idling
It should not be getting hot. You are using a switching regulator, which should run cool and draw less current than the output current. The Arduino draws tens of mA and the sound module should draw little quiescent current. So even a small bridge such as a W04M should not get noticeably warm.  

The transformer, on the other hand, might well get hot and heat the rest of the parts. It's best to keep the electrolytic cap in particular cool for long life. 

If you are sure the bridge is getting hot, check the connections and consider replacing it. If it's an impedance-protected transformer you might be shorting the transformer out every half-cycle. Maybe there is a hidden path (possibly through a ground connection) somewhere. 

Also the typical output voltage across the capacitor might be more like 10-15VDC depending on how lousy the transformer regulation is. It's extremely unlikely you will measure 8VDC. 
As you've got a switching regulator, that's all fine and good.