Using diodes to supply current
The diode may be supplying an average current of (say) 2 amps and might be dropping up to 1 volt across its terminals in doing so. This dissipates 2 watts of power and, of course the diode will produce 2 watts of heat. If you check the diode's data sheet it will have a number that tells you what the temperature rise is per watt. Based on that number, and the watts dissipated, will determine whether some form of heat sinking is required.