Voltage regulator and transistor get extremely hot
The point of adding a transistor across a linear regulator as you show is to increase the output current capability.  If output current is enough of a problem that you need to augment the linear regulator, then it doesn't make sense to use wussy parts in TO-92 and similar packages.  If you need more current at 3.3 V, get a regulator in a TO-220 package or similar.  That should be able to handle your current requirement directly.

That said, there is definitely something wrong with your system.  What you show shouldn't be getting hot with a 5 mA load.  There are therefore two possibilities:

The circuit isn't built according to the schematic.

The load isn't really 5 mA.



The obvious next thing to do is to test which one of these is the case.  Use resistors to put known loads on your circuit, and see how it reacts.  A 1 k&Omega; resistor should draw 3.3 mA.

A 100 &Omega; resistor should draw 33 mA.  Your circuit should be able to handle that.  With 6 V in and 3.3 V at 33 mA out, the total regulator only dissipates 89 mW.  Either part should be able to handle that by itself.

Fix things until your circuit works with a 100 &Omega; load.  Don't even think of connecting a real load until then.  If the voltage still collapses afterwards when you connect the real load, you know that the real load is at fault.