Dual primary / dual secondary transformer heat up
The Farnell page has a little better description of the wiring needed:

Primary Pin Connections        |    Secondary Pin Connections           
Style   0V  115V    0V   115V  |    0V  Vsec    0V  Vsec
UI39    1   4       9    6     |    17  19      14  12


It looks like connecting per this table parallels the primary winding to set the turns ratio for 115V input.

Based on that idea, it looks to me like pins 1 and 6 should see the AC and pins 4 and 9 should be connected together, to maintain the correct phasing of the primary.